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. Using the threshold vector error correction model (TVECM) to study the dynamic relationship between China’s fuel oil futures prices and spot prices, empirical analysis found that there is a significant nonlinear relationship between the two, the threshold value of 0.100 will be divided into two systems State, both the futures price and the spot price are adjusted faster than the standard state in the extreme state, however, the futures market has a higher price discovery function in both states.