山东工商学院学报
山東工商學院學報
산동공상학원학보
Journal of Shandong Institute of Business and Technology
2009年
2期
76~81
,共null页
黄金期货 现货市场 VAR模型 脉冲响应函数 方差分解 协整分析 EC—EGARCH模型
黃金期貨 現貨市場 VAR模型 脈遲響應函數 方差分解 協整分析 EC—EGARCH模型
황금기화 현화시장 VAR모형 맥충향응함수 방차분해 협정분석 EC—EGARCH모형
gold futures; spot market; VAR model; impulse responses function; variance decomposition ; co-integration analysis; EC-EGARCH model
根据向量自回归模型的脉冲响应函数和方差分解方法，借助协整关系和格兰杰因果关系，构建双变量EC—EGARCH模型，对我国黄金期货市场与现货市场的价格关系实证。结果显示，黄金期货与现货之间不存在相互影响关系；协整残差是好的解释变量；杠杆效应和溢出效应不明显；期货市场价格发现功能有待进一步完善。
根據嚮量自迴歸模型的脈遲響應函數和方差分解方法，藉助協整關繫和格蘭傑因果關繫，構建雙變量EC—EGARCH模型，對我國黃金期貨市場與現貨市場的價格關繫實證。結果顯示，黃金期貨與現貨之間不存在相互影響關繫；協整殘差是好的解釋變量；槓桿效應和溢齣效應不明顯；期貨市場價格髮現功能有待進一步完善。
근거향량자회귀모형적맥충향응함수화방차분해방법，차조협정관계화격란걸인과관계，구건쌍변량EC—EGARCH모형，대아국황금기화시장여현화시장적개격관계실증。결과현시，황금기화여현화지간불존재상호영향관계；협정잔차시호적해석변량；강간효응화일출효응불명현；기화시장개격발현공능유대진일보완선。
This article examines the relationship between the prices of spot and futures by using impulse responses function and variance decomposition methods in VAR model. Bivariate EC-EGARCH model is constructed based on co-integration test and granger causality model. The results from this research suggest that the spot and futures prices of gold futures are not cointegrated, co-integration residual is a good explanatory variable. The leverage effect and spillover effect are inconspicuous. The price discovery role of gold futures market played is absence and should be enhanced.
