怀化学院学报
懷化學院學報
부화학원학보
JOURNAL OF HUAIHUA TEACHERS COLLEGE
2014年
9期
55-59
,共5页
农产品期货%分布滞后回归%传导机制
農產品期貨%分佈滯後迴歸%傳導機製
농산품기화%분포체후회귀%전도궤제
agricultural futures%distributed lag regression model%transmission mechanism
用分布滞后回归模型分别研究大豆、豆粕和豆油在国内期货市场和芝加哥期货市场间的传导。从豆类各品种在大连期货交易所和芝加哥期货市场之间的传导特点可以看出,豆类期货价格在国内外的传导具有非对称性。总体来说我国豆类期货价格对芝加哥期货市场的影响力要大于芝加哥期货市场对我国期货市场的影响力,特别显著的是我国大连大豆和豆粕期货都是芝加哥大豆和豆粕期货的格兰杰原因,而反之不成立。虽然大连豆油期货和芝加哥豆油期货价格间的传导互为因果,但是从分布滞后模型的回归结果可以看出,我国大连豆油期货对芝加哥豆油期货价格的影响力要大于芝加哥豆油期货对大连豆油期货的影响力。
用分佈滯後迴歸模型分彆研究大豆、豆粕和豆油在國內期貨市場和芝加哥期貨市場間的傳導。從豆類各品種在大連期貨交易所和芝加哥期貨市場之間的傳導特點可以看齣,豆類期貨價格在國內外的傳導具有非對稱性。總體來說我國豆類期貨價格對芝加哥期貨市場的影響力要大于芝加哥期貨市場對我國期貨市場的影響力,特彆顯著的是我國大連大豆和豆粕期貨都是芝加哥大豆和豆粕期貨的格蘭傑原因,而反之不成立。雖然大連豆油期貨和芝加哥豆油期貨價格間的傳導互為因果,但是從分佈滯後模型的迴歸結果可以看齣,我國大連豆油期貨對芝加哥豆油期貨價格的影響力要大于芝加哥豆油期貨對大連豆油期貨的影響力。
용분포체후회귀모형분별연구대두、두박화두유재국내기화시장화지가가기화시장간적전도。종두류각품충재대련기화교역소화지가가기화시장지간적전도특점가이간출,두류기화개격재국내외적전도구유비대칭성。총체래설아국두류기화개격대지가가기화시장적영향력요대우지가가기화시장대아국기화시장적영향력,특별현저적시아국대련대두화두박기화도시지가가대두화두박기화적격란걸원인,이반지불성립。수연대련두유기화화지가가두유기화개격간적전도호위인과,단시종분포체후모형적회귀결과가이간출,아국대련두유기화대지가가두유기화개격적영향력요대우지가가두유기화대대련두유기화적영향력。
Based on distributed lag regression model , the author of this paper studies transmission mechanism between domestic and the Chicago futures market with soybeans ,soybean meal and soybean oil .As we can see from the conduction characteristics on variety of beans between Dalian Futures Exchange and the Chicago futures market , transmission between futures prices of beans at home and abroad shows asymmetries .Overall ,our bean futures price on the Chicago futures market is more important than the influence of the Chicago futures market on China's futures market . It is significant that our Dalian soybean and soybean meal futures are Granger cause of soybean meal futures in Chicago but the opposite is not true .Through the transmission between Dalian soybean oil futures and Chicago soy oil futures prices are reciprocal causations ,as can be seen from the regression results ,the influence of our Dalian soy oil futures prices on the Chicago soybean oil is greater than that of the Chicago soy oil futures on Dalian soybean oil .