| 我国白糖期现货市场互动及价格波动关系研究 |
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| 引用本文： | 谢文思,何凌云,安毅.我国白糖期现货市场互动及价格波动关系研究[J].安徽农业科学,2010,38(31):17918-17921,17935. |
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| 作者姓名： | 谢文思 何凌云 安毅 |
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| 作者单位： | 中国农业大学期货与金融衍生品研究中心; |
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| 基金项目： | 教育部基本科研业务费专项基金 |
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| 摘 要： | 基于协整检验理论，通过协整分析、Granger因果检验、建立VEC模型、脉冲响应函数和方差分解，对我国白糖期现货市场互动关系及价格波动机制进行实证分析，发现其期货与现货价格长期协整一致，期现货市场相互引导，并且2市场之间存在稳定的互动关系，期货市场在价格发现机制中起主导作用。
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| 关 键 词： | 白糖期货 VAR模型 Granger因果检验 脉冲响应 方差分解 |
A Research of the Interaction and Price Fluctuation Relationship between Chinese Sugar Futures and Spot Market |
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| XIE Wen-si et al.A Research of the Interaction and Price Fluctuation Relationship between Chinese Sugar Futures and Spot Market[J].Journal of Anhui Agricultural Sciences,2010,38(31):17918-17921,17935. |
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| Authors: | XIE Wen-si |
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| Institution: | XIE Wen-si et al(Futures and Financial Centre for Derivative products,China Agricultural University,Beijing 100083) |
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| Abstract: | Based on co-integration theory,through co-integration analysis,Granger causality test,establishing VEC model,impulse response function and variance decomposition,an empirical analysis on the enter-relationship and fluctuation transmission mechanism of the sugar futures market and the spot market was conducted.It was found a long-term equilibrium relationship as well as a mutual Granger causality between the future and spot price,which reflected the stable enter-relationship between sugar futures and spot ma... |
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| Keywords: | Sugar futures VAR model Granger causality test Impulse response Variance decomposition |
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