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本文基于向量自回归模型,利用协整检验、格兰杰检验与脉冲响应,对胶合板与纤维板期货与CME木材期货的价格联动性进行实证分析。结果显示:胶合板与纤维板期货分别与CME木材期货存在协整关系,CME木材期货对胶合板期货存在格兰杰因果关系,胶合板受国际木材价格影响较大,而纤维板期货基本脱离国际木材价格的影响,我国两板期货的定价运行效果尚好。基于以上结论,本文提出相关政策建议。
In this paper, based on the vector autoregressive model, cointegration test, Granger test and impulse response are used to empirically analyze the price linkage between plywood and fibreboard futures and CME wood futures. The results show that there is a cointegration relationship between plywood and fibreboard futures and CME lumber futures, CME timber futures have Granger causality to plywood futures, plywood is greatly influenced by international lumber prices, while fibreboard futures are basically out of the influence of international lumber prices, The pricing of our two futures markets is still running well. Based on the above conclusions, this paper puts forward the relevant policy recommendations.