我国铝期货、铝现货与废铝价格动态关系的实证研究

利用Johansen协整检验、Granger因果检验以及向量误差修正(VEC)模型、脉冲响应分析和方差分解分析,从三个不同的角度对我国铝期货、铝现货和废铝市场价格间的动态关系进行了实证分析,研究结果表明:从引导关系看,铝期货价格与铝现货价格之间具有协整关系,并且铝期货价格对铝现货价格及废铝价格具有单向价格引导关系,铝现货价格对废铝价格具有单向价格引导关系;从冲击反应看,铝期货对铝现货的冲击比较强烈,而铝期货对废铝以及铝现货对废铝的冲击相对比较和缓;从价格发现程度看,铝期货市场具有最强的价格发现能力,铝现货价格发现能力次之,废铝的价格发现能力最弱,表明铝期货是价格发现过程的主要驱动力量.

An Empirical Research on the Dynamic Relationship Among the Prices of Aluminum Futures, Spot and Scrap Aluminum

This paper examine the dynamic relationship among the prices of aluminum futures, spot and scrap aluminum by using Johansen cointegration test,error correction model, impulse responses function analysis and variance decomposition method.The conclusions that we can draw from the empirical results are that there are cointegration relationships between the prices of aluminum futures and spot and the unidirectional price and the prices of aluminum futures have leading function among the price of aluminum spot and scrap aluminum. From the view of the impulse reflection aspect,the response speed of the aluminum futures to the spot is stronger,and the response speed of the aluminum futures to scrap aluminum is slower.As to the ability of price discovery,the first is the aluminum futures market,the second is the aluminum spot market,and the last is scrap aluminum market. This implied that the aluminum futures market is a mainly driving force in price discovery process.