摘要
使用相关性分析、协整检验、向量误差修正模型、格兰杰因果关系检验、脉冲响应函数和方差分解等实证研究方法,基于2006年6月15日—2020年10月23日的中国铜期货和现货价格数据,分析中国铜期货和现货价格之间的关联程度。研究结果表明:中国铜期货和铜现货价格之间具有长期稳定的协整关系,两者相互引导,但前者对后者的影响程度更大,价格偏离时恢复到均衡状态时间较长,运行效率较差。因此,应从市场结构、制度和技术创新、国际化程度等方面提出对策建议,进而提高中国铜期货发展水平。
Using correlation analysis,cointegration test,vector error correction model,Granger causality test,impulse response function and variance decomposition and other empirical research methods,this paper analyzes the correlation between China copper futures and spot prices based on June 15,2006 to October 23,2020.The results show that there is a long-term stable cointegration relationship between China copper futures and copper spot prices,and they guide each other,but the former has a greater impact on the latter.When the prices deviate,it takes longer time to return to equilibrium and the operation efficiency is poor.Therefore,we should put forward countermeasures and suggestions from the market structure,system and technological innovation,and the degree of internationalization,so as to improve the development level of China copper futures.
作者
王吉恒
于东序
WANG Ji-heng;YU Dong-xu(School of Economics and Management,Northeast Agricultural University,Harbin,Heilongjiang,150030)
出处
《价格月刊》
北大核心
2021年第3期22-29,共8页
基金
黑龙江省应用技术研究与开发计划软科学项目“黑龙江省产业升级与创新驱动中心建设研究”(编号:GC16D115)。
关键词
铜期货
铜现货
价格关联
发展水平
VAR模型
copper futures
copper spot prices
price correlation
VAR model of development level
