我国豆粕现货与期货价格动态传导关系研究  

Study on the Dynamic Conduction Relationship between Spot Price and Futures Price of Soybean Meal in China

作　　者：刘金珠 

机构地区：[1]东北财经大学财政税务学院

出　　处：《价格理论与实践》2018年第7期75-78,共4页Price:Theory & Practice

基　　金：辽宁省财政科研基金一般项目(14C001)的阶段性成果

摘　　要：豆粕期货市场具有重要的价格发现功能。本文选取2008年2月14日至2018年5月31日大连商品交易所豆粕期货活跃合约结算价格、期货连续结算价格与现货价格共2501组数据为研究对象建立VAR模型。研究结果表明:我国豆粕现货价格、期货活跃合约结算价格和期货连续结算价格具有长期稳定的动态关系,期货活跃合约结算价格比期货连续结算价格更具价格发现和风险规避功能,现货价格与期货连续结算价格互为格兰杰因果关系,现货价格与期货活跃合约结算价格互为格兰杰因果关系,且期货活跃合约结算价格也是引起期货连续结算价格变动的格兰杰原因。Soybean-meal futures market plays an important role in price discovery.This paper selects 2501 sets of data about futures active-contract settlement price, futures continuous settlement price and spot price of soybean meal in Dalian Commodity Exchange from February 14, 2008 to May 31, 2018 to establish the VAR model. The results show there is a stably long-term dynamic relationship among those prices, and that futures active-contract settlement price has more power in price discovery and risk aversion than futures continuous settlement price of soybean meal. They also prove that spot price and futures continuous settlement price are Granger causality, that spot price and futures active-contract settlement price are Granger causality, and that futures active-contract settlement price is also the Granger cause of the fluctuation of futures continuous settlement price of soybean meal.

关 键 词：豆粕期货 期货价格 现货价格 VAR模型 动态传导关系 

分 类 号：F724.5[经济管理—产业经济] F323.7