CAJ | 학술논문

本文利用阈值向量误差修正模型 ( TVECM ) 实证研究了国内与国际期货市场的大豆、小麦、玉米和稻谷四种粮食期货价格之间动态关系, 结果显示: 2009 -2013 年期间, 除大豆外,小麦、玉米和稻谷期货价格在国内外市场之间并不具有长期协整关系; 非线性TVECM模型比线性VECM模型能更好地刻画国内大豆期货价格 "易涨难跌" 的非对称现象; 短期动态调整具有显著的阀值非线性动态关系.
본문이용역치향량오차수정모형 ( TVECM ) 실증연구료국내여국제기화시장적대두、 소맥、 옥미화도곡사충양식기화개격지간동태관계, 결과현시: 2009 -2013 년기간, 제대두외,소맥、 옥미화도곡기화개격재국내외시장지간병불구유장기협정관계; 비선성TVECM모형비선성VECM모형능경호지각화국내대두기화개격 "역창난질" 적비대칭현상; 단기동태조정구유현저적벌치비선성동태관계.
This paper empirically studies the dynamic relationships of grain futures prices which include soybean, wheat, corn and rice at home and abroad using the threshold vector error correction model (TVECM). The results show:wheat , corn and rice prices except soybean have no long-term cointegration from 2009 to 2013;by further analyzing the soybean, we find that the nonlinear TVECM model can better portray the domestic soybean futures prices asymmetric phe-nomenon which displays"easier to rise and more difficult to fall" than the linear VECM model;short-term dynamic ad-justment has a significant threshold nonlinear dynamic relationship.