PTA期现价格动态关系实证肥侵析.docVIP

PTA期现价格动态关系实证分析 　摘要：以郑州期货交易所PTA期货和进口、国产PTA现货为研究对象，利用格兰杰因果检验、协整检验、误差修正模型等方法，分析了我国PTA期货市场与现货市场长期均衡关系和短期动态关联关系。结果表明：国内的现货PTA价格和期货PTA价格是互相引导的；PTA期货价格对现货价格的影响强于现货价格对期货价格的影响；短期来看PTA期货价格与现货价格之间存在协整关系；长期来看PTA期货价格与现货价格保持着长期的均衡关系。以上研究表明，我国PTA期货市场已基本具备市场价格发现功能和一定的价格自我约束机制。 　　关键词：PTA期货；格兰杰因果检验；协整检验；误差修正模型 　　中图分类号：F416.7 文献标识码：A 　　 　　Empirical Research on the Dynamic Relationship between PTA Futures and Spot Price 　　LIU Peng1，QIAN Feng2，TENG Jun2 　　（1.College of Food Science and Technology，Nanjing Agricultural University，Nanjing210095，China; 　　2. Golden Sun Security Limited Company，Nanchang310000，China) 　　Abstract：The PTA futures in Zhengzhou Futures Exchange and PTA spot both imported and manufactured in domestic had been taken as research object. The correlation and stationarity had been discussed between the futures and spot prices of PTA. On the basis above, Granger causality test, Co-integration test and Error correction model were been used to analyze the long-term equilibrium relationship and short-term dynamic association of PTA futures market and PTA spot market. The analysis results showed that: the domestic spot and futures prices of PTA guided each other. PTA futures price imposed stronger influence on the spot price than the spot price imposed on futures price. A co-integration had been existed between PTA futures price and spot price in the short-term relationship. However, PTA futures prices and spot prices have maintained a long-term equilibrium relationship in the long term. From the research above we can got the conclusion that: PTA futures markets in China has the basic market price discovery function and certain mechanism of price self-discipline. 　　Key words:PTA future; Granger causality test; co-integration test; error correction model 　　 　　一、引言 　　在市场经济条件下，价格机制是市场经济的核心机制。市场对资源的配置主要通过价格变动来实现，有效的价格形成机制是实现资源优化配置的前提。价格发现是期货市场的主要经济功能之一，目前对期货市场有效性的研究是以协整理论为核心的协整检验、误差修正模型、VAR模型等较新的计量分析方法。PTA是精对苯二甲酸（Pure Terephthalic Acid）的英文缩写，是重要的大宗有机原料之一，其主要用途是生产聚