| 中国饲料工业期货的价格发现实证研究 |
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| 引用本文： | 刘晓宇.中国饲料工业期货的价格发现实证研究[J].中央财政金融学院学报,2006(11):43-47. |
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| 作者姓名： | 刘晓宇 |
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| 作者单位： | 东北财经大学金融学院 大连116025 |
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| 摘 要： | 本文借助向量自回归模型、协整检验、误差修正模型、方差分解、脉冲响应函数等方法,以中国唯一的饲料工业期货———大连商品交易所豆粕期货品种为例,研究了期货价格与现货价格之间的动态关系,定量刻画了期货市场在价格发现中的作用。研究结果显示:豆粕期货价格与现货价格存在相互引导关系,并且期货与现货价格之间存在长期均衡关系,对豆粕期货来说,期货市场在价格发现功能中起到主导作用。
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| 关 键 词： | 中国饲料工业期货 向量自回归模型 协整检验 方差分解 脉冲响应函数 |
| 文章编号： | 1000-1549（2006）011-0043-05 |
| 收稿时间： | 2006-09-02 |
| 修稿时间： | 2006年9月2日 |
Positive Research on the Price Discovery of Chinese Feed Industrial Futures |
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| LIU Xiao-yu.Positive Research on the Price Discovery of Chinese Feed Industrial Futures[J].Journal of Central University of Finance & Economics,2006(11):43-47. |
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| Authors: | LIU Xiao-yu |
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| Institution: | LIU Xiao-yu |
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| Abstract: | Taking Chinese only feed industrial Futures Soybean Meal Futures in Dalian Commodity Exchange as examples, this article examines the dynamic relationship between the prices of spot and futures, and discloses the role of futures market plays in price discovery quantitatively, using VAR model, cointegration test, error correction model, variance decomposition and impulse responses function methods, etc. The results from this research suggest that the spot and futures prices of soybean meal are cointegrated, and there is a feedback between spot and futures prices, and futures market plays more important role in price discovery. |
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| Keywords: | Chinese feed industrial Futures VAR Model Cointegration Test Variance Decomposition Impulse Responses Function |
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