| 我国燃料油期货价格与现货价格动态关系:基于TVECM的实证研究 |
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| 引用本文： | 刘小铭.我国燃料油期货价格与现货价格动态关系:基于TVECM的实证研究[J].数学的实践与认识,2010,40(8). |
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| 作者姓名： | 刘小铭 |
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| 作者单位： | 华侨大学,数量经济研究院,福建,泉州,362021 |
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| 摘 要： | 利用门限向量误差修正模型(TVECM)研究了我国燃料油期货价格与现货价格之间的动态关系,实证分析发现,两者之间存在显著的非线性关系,门限值0.100将系统分为两个状态,在极端状态中期货价格和现货价格的调整速度均比标准状态快.然而,在两个状态中期货市场均具有较高的价格发现功能.
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| 关 键 词： | 燃料油期货 门限向量误差修正模型 非线性 |
Dynamic Analysis the Relationship between Fuel Oil Futures and Spot Prices in China: Evidence from TVECM |
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| LIU Xiao-ming.Dynamic Analysis the Relationship between Fuel Oil Futures and Spot Prices in China: Evidence from TVECM[J].Mathematics in Practice and Theory,2010,40(8). |
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| Authors: | LIU Xiao-ming |
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| Institution: | LIU Xiao-ming (Institute of Quantitative Economics,Huaqiao University,Quanzhou 362021,China) |
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| Abstract: | The paper analysis the dynamic relationship between fuel oil futures and spot prices of China in a TVECM.It found out that there was a significant nonlinear relationship between them.The threshold value 0.100 divided the system into two regimes.In the standard regime,the speed of two prices adjusting to the long-run equilibrium is lower than that in extreme regime.However,in both regimes,the futures market serves better price discovery function. |
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| Keywords: | fuel oil futures TVECM nonlinear |
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