| 中美小麦期货价格与现货价格传递关系的比较研究 |
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| 引用本文： | 邵永同,高旺盛.中美小麦期货价格与现货价格传递关系的比较研究[J].技术经济,2008,27(11):81-87. |
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| 作者姓名： | 邵永同 高旺盛 |
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| 作者单位： | 1. 中国农业大学,经济管理学院,北京,100083
2. 中国农业大学,区域农业发展研究中心,北京,100094 |
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| 摘 要： | 为研究我国小麦期货市场价格发现功能的发挥程度及此功能对现货市场价格的影响，本文运用Johansen协整检验、误差修正模型、脉冲响应函数和方差分解等对中美小麦期货与现货价格传递关系进行了实证研究。结果显示：中美两国国内小麦期货与现货价格之间均存在明显的双向引导关系和长期均衡关系；我国小麦期货价格和现货价格对一个标准差信息冲击的反应均稍强于美国；我国小麦期货市场价格发现功能的发挥程度要优于美国。
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| 关 键 词： | 小麦 期货价格 现货价格 价格传递 价格发现功能 |
Comparative Analysis on Price Pass-through Correlation between Futures Price and Spot Price in Wheat Market of China and US |
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| Shao Yongtong,Gao Wangsheng.Comparative Analysis on Price Pass-through Correlation between Futures Price and Spot Price in Wheat Market of China and US[J].Technology Economics,2008,27(11):81-87. |
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| Authors: | Shao Yongtong Gao Wangsheng |
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| Institution: | Shao Yongtong1,Gao Wangsheng2 (1.College of Economics , Management,China Agricultural University,Beijing 100083,China,2.Center of Regional Agriculture Research,Beijing 100094,China) |
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| Abstract: | Aiming at studying the level of price discovery function of Chinese wheat futures market and the influence of futures price on spot price,this paper uses Johansen Cointegration Test,Error Correction Model,Impulse Response Function and Variance Decomposition Model to analyze the price pass-through correlation between futures price and spot price in wheat market of China and US.The results show that,there exist bidirectional inducing relationship and long-term equilibrium relationship between futures price an... |
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| Keywords: | wheat futures price spot price price pass-through price discovery function |
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