| 张振.中美玉米期货价格相关性和引导性及动态走势模型的实证研究[J].广东农业科学,2013,40(24):226-231 |
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中美玉米期货价格相关性和引导性及动态走势模型的实证研究 |
| Positive empirical study of relativity and preliminary with dynamic trend model of the maize futures market of the United States and China |
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| DOI： |
| 中文关键词: ADF单位根检验 协整 Granger因果关系检验 |
| 英文关键词: augmented dickey fuller test co-integration granger causality test |
| 基金项目:/ |
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| 摘要点击次数: 1567 |
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| 中文摘要: |
| 以中美两国玉米期货市场为研究背景，选取2011年9月到2012年9月美国芝加哥期货交易所和中国大连商品交易所玉米期货价格以及相关现货市场价格所形成的价格时间序列为研究对象，在对中美玉米期货价格进行协整检验的基础上，采用基于VAR的Granger因果关系检验方法对中美玉米期货价格之间的相关性和引导性进行实证检验，发现两者之间存在双向引导关系，芝加哥玉米期货价格对大连玉米期货价格引导作用明显，然后在协整理论和方差修正理论的基础上，建立中国玉米期货市场价格的长期均衡模型和短期动态预测模型，通过对模型各项统计指标的检验表明，动态预测模型的拟合性比较好，可以运用于国内玉米期货价格的动态滚动预测，模型对于控制玉米期货交易风险具有比较好的参考作用。 |
| 英文摘要: |
| On the background of maize futures market in China and USA, taking the maize futures price in Chicago Commodity Exchange in the USA and Dalian Commodity Exchange in China from Oct. 2011 to Oct. 2012, and their relevant prices in spot market as objects, this study uses Augmented Dickey Fuller test, Co-integration, Granger Causality test to analyze the relevance and guidance of maize futures market between China and the USA. The results show that there is bi-directional leading relationship of maize futures market between China and the USA. Chicago maize futures price has obvious leading effect on Dalian爷s. This study also builds long-term equilibrium model and short-term dynamic prediction model of maize futures price of China based on the theory of Co-integration and Error Correction. The statistical indexes of the models show that the the dynamic prediction model has good fitting, can be applied to dynamic prediction of domestic maize futures price, and has a better reference for controlling the maize futures risk. |
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