| 基于非线性结构的铜期货与现货价格关系的实证检验 |
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| 引用本文：戴晓凤,丁林江.基于非线性结构的铜期货与现货价格关系的实证检验[J].湖南大学学报社会科学版,2010,(5):42-46 |
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| 中文摘要:在期货价格与现货价格间存在非线性结构的条件下，由于传统的线性格兰氏因果关系检验对其非线性因果关系甄别能力弱，因而无法准确判断它们之间的真实关系。本文以上海期货交易所合约铜与现货铜为研究时象，采用修正的Baek-Brock检验方法对我国铜期货价格和现货价格之间的非线性因果关系进行实证研究。实证结果表明铜期货价格和现货价格之间存在双向的非线性因果关系，两者之间并不存在绝对的领先与滞后关系。鉴于价格序列之间的非线性关系可能由于信息流引起，因此，采用EGARCH模型分别对铜期货价格与现货价格序列进行波动率过滤，结果发现经过调整后的价格序列之间仍存在双向的非线性因果关系。 |
| 中文关键词:非线性结构 非线性因果关系 Baek-Brock检验 波动率过滤 |
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| Nonlinear Granger Causality Test of Spot and Future prices ：Evidence from the Copper Market |
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| Abstract:Nonlinear structure is often found in the spot and future prices, but the traditional linear Granger causality can’t discriminate nonlinear causality very well, so as not to estimate their relationship clearly. This paper empirically tests the nonlinear causality relationship between spot and future prices of copper contract. The modified Baek and Brock test model provides evidence of significant bidirectional nonlinear Granger causality between spot and future prices, it means that there isn’t absolute lead and lag relations between the spot and futures prices. The nonlinear causality could be due to simple volatility effects associated with information flows, so it is necessary to adjust the series of the spot and futures prices by fitting the EGARCH model. The result revealed that there is also bidirectional nonlinear causality between the adjusted series of the spot and futures prices. |
| keywords:nonlinear structure nonlinear Granger causality Baek-Brock test volatility-filtered |
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