CAJ | 학술논문

本文应用z—A方法和Perron方法等结构突变检验以及Gregory—Hansen变结构协整方法，对大豆期货和现货价格之间是否存在长短期均衡关系进行重新研究。研究发现。样本期内大豆期货和现货均发生了两次结构突变。通过考虑是否发生结构突变的对比分析表明，未考虑结构突变时大豆期现货不存在协整关系，考虑结构突变时二者则存在长期均衡关系和短期动态调整关系；考虑结构突变向量的误差修正模型（EcM）的预测精度比未考虑结构突变时高出5．5％，充分证实了结构突变在处理时间序列数据时的必要性和有效性。
본문응용z—A방법화Perron방법등결구돌변검험이급Gregory—Hansen변결구협정방법，대대두기화화현화개격지간시부존재장단기균형관계진행중신연구。연구발현。양본기내대두기화화현화균발생료량차결구돌변。통과고필시부발생결구돌변적대비분석표명，미고필결구돌변시대두기현화불존재협정관계，고필결구돌변시이자칙존재장기균형관계화단기동태조정관계；고필결구돌변향량적오차수정모형（EcM）적예측정도비미고필결구돌변시고출5．5％，충분증실료결구돌변재처리시간서렬수거시적필요성화유효성。
Based on structural breaks test such as Z-A and Perron methods and the co-integration test of Gregory-Hansen, this paper made a research on the short-term and long-term equilibrium relationship between futures price and spot price of soybean. The study discovered that within the sample period there were two structure breaks of both futures and spot prices. Meanwhile, the further comparative analysis on whether considering structural breaks shows that without the consideration of structural breaks, the co-inte- gration relationship between futures and spot prices of soybean does not exist; however, with the consider- ation of structural breaks, there exists long-run equilibrium relationship and short-term dynamic adjust- ment relationships. This study also found that the vector ECM with the consideration of structural breaks had 5.5% higher accuracy than that without consideration of structural breaks on prediction, fully confirmed the necessity of considering structural breaks in treating with time series.