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选取美国CBOT商品交易所1999年7月至2015年5月的美黄豆连期货合约和中国大连商品交易所2004年9月至2015年5月的豆一连续合约作为样本数据,运用Phillips等提出的sup ADF和GSADF方法对中美大豆期货价格进行泡沫检验。该方法可以通过逐期的右尾单位根检验发现时间序列中的轻微泡沫,并能确定泡沫开始和破灭时间。研究结果发现,美国大豆价格存在2个泡沫区间,中国大豆价格出现3个泡沫区间。通过对中美大豆价格的泡沫性检验的比较分析,可以更加准确地把握国际、国内大豆市场的价格动向,并为以大豆为原料的生产型企业有效规避价格泡沫引起的市场风险提供借鉴。
Select the US CBOT Mercantile Exchange July 1999 to May 2015 US soybean futures contracts and China Dalian Commodity Exchange September 2004 to May 2015 bean continuous contract as a sample data using Phillips proposed sup ADF and GSADF methods to foam the price of Sino-US soybean futures. The method finds a slight bubble in the time series by a period-by-period right-tailed unit root test and can determine the start and the burst time of the bubble. The study found that there are two foam US soybean prices range, China’s soybean prices appear in three foam intervals. By comparative analysis of the foam test of soybean prices in China and the United States, the price trend of international and domestic soybean markets can be more accurately grasped and the reference can be made for the production enterprises that use soybean as raw material to effectively avoid the market risk caused by price bubbles.