摘要
为研究我国小麦期货市场价格发现功能的发挥程度及此功能对现货市场价格的影响,本文运用Johansen协整检验、误差修正模型、脉冲响应函数和方差分解等对中美小麦期货与现货价格传递关系进行了实证研究。结果显示:中美两国国内小麦期货与现货价格之间均存在明显的双向引导关系和长期均衡关系;我国小麦期货价格和现货价格对一个标准差信息冲击的反应均稍强于美国;我国小麦期货市场价格发现功能的发挥程度要优于美国。
Aiming at studying the level of price discovery function of Chinese wheat futures market and the influence of futures price on spot price, this paper uses Johansen Cointegration Test, Error Correction Model, Impulse Response Function and Variance Decomposition Model to analyze the price pass-through correlation between futures price and spot price in wheat market of China and US. The results show that, there exist bidirectional inducing relationship and long-term equilibrium relationship between futures price and spot price in wheat market of China and US; the response to one standard deviation message of wheat futures and spot price in Chinese wheat market are showed to be more sensitive than those in US wheat market;the level of price discovery function of China＇s wheat futures market is better than that of US wheat futures market.
出处
《技术经济》
2008年第11期81-87,共7页
Journal of Technology Economics
关键词
小麦
期货价格
现货价格
价格传递
价格发现功能
wheat
futures price
spot price
price pass-through
price discovery function
