CAJ | 학술논문

利用两状态的门限向量误差修正模型（threshold vector errorcorre ctionmodel，TVECM），研究了中国与国际有色金属期货价格在不同状态下的长期均衡关系与短期动态调整机制．研究发现：伦敦期货交易所（LME）与上海期货交易所（SHFE）的期铜、期铝之间存在着显著的门限协整关系；中国与国际有色金属期货价格向长期均衡状态的调整力度是非对称的，当SHFE3月期铜价格较高或LME3月期铝价格较高导致期货价格偏离均衡时，误差矫正机制推动价格向均衡状态调整的力度较大．中国与国际有色金属期货价格在不同状态的样本数量不同，当LME3月期铜价格较高或SHFE3月期铝价格较高导致期货价格偏离均衡状态时的样本较多．
이용량상태적문한향량오차수정모형（threshold vector errorcorre ctionmodel，TVECM），연구료중국여국제유색금속기화개격재불동상태하적장기균형관계여단기동태조정궤제．연구발현：륜돈기화교역소（LME）여상해기화교역소（SHFE）적기동、기려지간존재착현저적문한협정관계；중국여국제유색금속기화개격향장기균형상태적조정력도시비대칭적，당SHFE3월기동개격교고혹LME3월기려개격교고도치기화개격편리균형시，오차교정궤제추동개격향균형상태조정적력도교대．중국여국제유색금속기화개격재불동상태적양본수량불동，당LME3월기동개격교고혹SHFE3월기려개격교고도치기화개격편리균형상태시적양본교다．
The cross-market interactional mechanism between Chinese and international nonferrous metal prices is investigated from a new perspective. The two-regime threshold vector error correction model （TVECM） with a single threshold cointegrating vector is employed to explore the relationship. The results indicate that the threshold vector error correction model can capture characteristics of the correlation between the futures prices of London Metal Exchange （LME） and Shanghai Futures Exchange （SHFE）. There is different adjustment intensity in the different state. When the price of SHFE＇ copper or LME＇ aluminum cause the deviation from the equilibrium, the error correction mechanism will promote the price to the equilibrium with strong efforts. There is different observation in the different state. There are more samples when the price of LME＇ copper or the SHFE＇ aluminum deviate from the equilibrium.