摘要
利用协整检验、方差分解和脉冲响应分析技术对中国、美国、日本3家期货交易所的玉米期货价格互动关系与动态预测进行研究,结果发现:大连与芝加哥交易所的期货价格之间存在长期均衡关系,总方差中来自于芝加哥、大连和东京交易所分别为39.84%、33.93%和26.23%;芝加哥交易所对于价格波动的冲击效率优于大连和东京交易所,在世界玉米期货市场中,芝加哥交易所的影响力与权威性最强,中国要成为大宗商品的国际定价中心,可以采取投资者结构合理化与多元化等6个相应的对策与战略。
This article examines the interaction and dynamic prediction of China, America and Japan＇s corn futures market by using co-integration test, variance decomposition and impulse responses function analysis methods. The results suggest that the DCE and CBOT futures markets exist long-run equilibrium relationship. The total variance consists of 39.84%（CBOT）, 33.93%（DCE） and 26.23%（TGE）. CBOT futures price＇s impact efficiency from price fluctuation has been greater than those of DCE and TGE futures. CBOT has the greatest influence and authority in the world corn futures. In order to establish international pricing centre of bulk commodity, China should make six strategies, such as rationalization and diversification for investors＇ structure.
出处
《上海金融学院学报》
2008年第3期23-29,16,共8页
Journal of Shanhai Finance University
关键词
玉米期货
关联性
动态预测
定价权
corn futures
interaction
dynamic prediction
pricing
