| 中国黄金市场期货与现货价格关系实证研究 |
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| 引用本文： | 田志朋,朱国彦.中国黄金市场期货与现货价格关系实证研究[J].山东工商学院学报,2009,23(2). |
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| 作者姓名： | 田志朋 朱国彦 |
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| 作者单位： | 青岛大学,经济学院,山东,青岛,266071 |
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| 摘 要： | 根据向量自回归模型的脉冲响应函数和方差分解方法,借助协整关系和格兰杰因果关系,构建双变量EC-EGARCH模型,对我国黄金期货市场与现货市场的价格关系实证.结果显示,黄金期货与现货之间不存在相互影响关系;协整残差是好的解释变量;杠杆效应和溢出效应不明显;期货市场价格发现功能有待进一步完善.
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| 关 键 词： | 黄金期货 现货市场 VAR模型 脉冲响应函数 方差分解 协整分析 EC-EGARCH模型 |
Empirical Research on the Relationship between Futures and Spot Price in Gold Market of China |
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| TIAN Zhi-peng,ZHU Guo-yan.Empirical Research on the Relationship between Futures and Spot Price in Gold Market of China[J].Journal of Shandong Institute of Business and Technology,2009,23(2). |
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| Authors: | TIAN Zhi-peng ZHU Guo-yan |
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| Institution: | College of Economics;Qingdao University;Qingdao 266071;China |
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| Abstract: | This article examines the relationship between the prices of spot and futures by using impulse responses function and variance decomposition methods in VAR model.Bivariate EC-EGARCH model is constructed based on co-integration test and granger causality model.The results from this research suggest that the spot and futures prices of gold futures are not cointegrated,co-integration residual is a good explanatory variable.The leverage effect and spillover effect are inconspicuous.The price discovery role of g... |
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| Keywords: | gold futures spot market VAR model impulse responses function variance decomposition co-integration analysis EC-EGARCH model |
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