| 金属铝期货与现货价格动态关系的实证研究 |
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| 引用本文： | 王骏,张宗成.金属铝期货与现货价格动态关系的实证研究[J].华中科技大学学报(社会科学版),2005,19(5):70-74. |
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| 作者姓名： | 王骏 张宗成 |
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| 作者单位： | 华中科技大学,经济学院,湖北,武汉,430074 |
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| 基金项目： | 国家自然科学资助项目基金（70441022） |
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| 摘 要： | 文章借助向量自回归模型、协整检验、误差修正模型、格兰杰因果检验、脉冲响应函数、方差分解等方法,以上海期货交易所的铝期货品种为例,研究了铝期货价格与现货价格之间的动态关系,定量地刻画出这种有色金属期货市场在价格发现中作用的大小.实证研究的结果显示：铝期货价格与它们的现货价格都存在相互引导关系,而且期货与现货价格之间也存在长期均衡关系,上海期货交易所金属铝期货市场在价格发现功能中扮演了主导作用.
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| 关 键 词： | 金属铝期货 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： | 1671-7023（2005）05-0070-05 |
| 收稿时间： | 2004-11-19 |
| 修稿时间： | 2004年11月19 |
Positive Research on the Dynamic Relationship between Metal Aluminum Futures Price and Spot Price |
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| WANG Jun,ZHANG Zhong-cheng.Positive Research on the Dynamic Relationship between Metal Aluminum Futures Price and Spot Price[J].Journal of Huazhong University of Science and Technology(Social Science Edition),2005,19(5):70-74. |
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| Authors: | WANG Jun ZHANG Zhong-cheng |
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| Abstract: | Taking aluminum of ShangHai Futures Exchange as examples,this article examines the dynamic relationship between the prices of spot and futures,and discloses the role which the nonferrous metal futures market plays in price discovery quantitatively by using VAR model,cointegration test,error correction model,impulse responses function analysis and variance decomposition methods and etc.The results from this positive research suggest that the spot and futures prices of metal aluminum futures are cointegrated,and there is a mutual guidance and long-term equilibrium relationship between spot and futures prices.The SHFE's metal aluminum futures market plays adominant role in price discovery. |
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| Keywords: | metal aluminum futures VAR model cointegration test variance decomposition impulse responses function |
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