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利用两状态的门限向量误差修正模型(threshold vector error correction model,TVECM),研究了中国与国际有色金属期货价格在不同状态下的长期均衡关系与短期动态调整机制.研究发现:伦敦期货交易所(LME)与上海期货交易所(SHFE)的期铜、期铝之间存在着显著的门限协整关系;中国与国际有色金属期货价格向长期均衡状态的调整力度是非对称的,当SHFE3月期铜价格较高或LME3月期铝价格较高导致期货价格偏离均衡时,误差矫正机制推动价格向均衡状态调整的力度较大.中国与国际有色金属期货价格在不同状态的样本数量不同,当LME3月期铜价格较高或SHFE3月期铝价格较高导致期货价格偏离均衡状态时的样本较多.
Using the two-state threshold vector error correction model (TVECM), this paper studies the long-term equilibrium relationship and short-term dynamic adjustment mechanism between Chinese and international non-ferrous metals futures prices under different conditions.The study finds that: the London Futures Exchange LME) and Shanghai Futures Exchange (SHFE) copper and aluminum there is a significant threshold cointegration between China and the international non-ferrous metals futures price adjustment to the long-term equilibrium is asymmetric, when the price of copper in March SHFE High or LME3 month long-term low prices, the error correction mechanism to promote the adjustment of the price to a more balanced state.China and the international non-ferrous metals futures prices in different states the number of different samples, when the LME3 month copper prices Higher or SHFE March’s readings suggest that the price of domestic currency should not be too high.