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运用VAR多变量动态系统以及在此基础上的Johansen多元协整检验、向量误差修正模型、格兰杰因果检验、脉冲响应函数分析和方差分解等技术方法对我国玉米现货价格与国内外玉米期货价格之间的关联性进行研究,结果发现:国内玉米期货市场会对国内玉米现货市场造成较大的波动性,而国际玉米期货市场对国内玉米现货市场造成的波动影响较小;在国内玉米价格的形成中,国内玉米期货价格起着主导作用,随着时间的推移,贡献度有不断增大的趋势,而国外玉米期货价格的贡献率较小。
Based on VAR multi-variable dynamic system and Johansen’s multiple cointegration test, vector error correction model, Granger causality test, impulse response function analysis and variance decomposition, VAR spreads between Chinese corn spot price and domestic and international corn futures prices The results show that: the domestic corn futures market will cause greater volatility in the domestic corn spot market, while the international corn futures market has less impact on domestic corn spot market fluctuations; in the domestic corn price As a result, the price of domestic corn futures plays a leading role. With the passage of time, the contribution rate has been increasing. However, the contribution rate of foreign corn futures prices is relatively small.