CAJ | 학술논문

国外期货价格与国内期货价格之间的动态关系反映了期货市场的运行效率。基于Johansen协整分析、因果关系检验以及脉冲响应等计量方法对国际CBOT豆类期货市场与国内DCE豆类期货市场的传导关系、传导路径、传导效率等进行了深入的分析。结果发现：国际豆类期货价格对国内豆油期现货传导作用比国内豆类期货价格更强；DCE豆油现货价格与CBOT豆油期货，DCE大豆1号期货价格与DCE豆油现货价格之间存在长期协整关系，而与CBOT大豆期货、CBOT豆粕期货、DCE大豆2号期货以及DCE豆粕期货价格之间并不存在长期协整关系。
국외기화개격여국내기화개격지간적동태관계반영료기화시장적운행효솔。기우Johansen협정분석、인과관계검험이급맥충향응등계량방법대국제CBOT두류기화시장여국내DCE두류기화시장적전도관계、전도로경、전도효솔등진행료심입적분석。결과발현：국제두류기화개격대국내두유기현화전도작용비국내두류기화개격경강；DCE두유현화개격여CBOT두유기화，DCE대두1호기화개격여DCE두유현화개격지간존재장기협정관계，이여CBOT대두기화、CBOT두박기화、DCE대두2호기화이급DCE두박기화개격지간병불존재장기협정관계。
The conduction relations between foreign futures price and the domestic futures price reflects efficiency of the futures market .This paper examines the conduction relations ,conduction path ,transmission ef-ficiency between the international and domestic beans futures market beans futures market based on the Johan -sen cointegration analysis , granger causality test and impulse response .The results showed that:international beans futures prices had greater effect on domestic soybean oil phase spot conduction than on domestic beans futures price;the long-term co-integration exists between domestic soybean oil spot price and CBOT soybean oil futures,and between domestic soybean 1 the futures price and spot price of domestic soybean oil while such relation is not found among the prices of CBOT soybean futures ,CBOT soybean meal futures ,domestic soybean 2 futures and domestic soybean meal futures .