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运用Bai-Perron检验对中美大豆期货市场价格的结构突变现象进行了检验,进一步分阶段利用协整检验、Granger因果检验和脉冲响应函数方法,分析了中美大豆期货市场价格变动关系的结构突变特征及其影响因素。结果表明:1)整体上,中美大豆期货市场价格存在着长期的协整关系,美国大豆期货价格对中国大豆期货价格具有引导作用;2)中美大豆期货市场价格发生了5次结构突变,在部分结构突变点前后,两市场的价格联动关系发生改变;3)全球性的经济危机、国际油价的剧烈波动和市场调控政策的变化等重大事件会影响中美大豆期货市场的价格关系。
The Bai-Perron test was used to test the structural mutation of the price of Sino-U.S. Soybean futures market. The co-integration test, Granger causality test and impulse response function were used in stages to analyze the structural changes of the price changes in the Sino-U.S. Soybean futures market Characteristics and influencing factors. The results show that: 1) As a whole, there is a long-term cointegration relationship between the price of soybean futures market in China and the United States. The price of soybean futures in the United States plays a guiding role in the price of soybean futures in China. 2) The price of soybean futures market in China and the United States has undergone five structural changes, The price linkage between the two markets changed before and after the structural change point of some structures; 3) Major events such as the global economic crisis, drastic fluctuations in international oil prices and the changes in market control policies will affect the price relationship between the Sino-US soybean futures markets.