上海铜期货价格与现货价格的协整关系研究——基于VECM和TVECM模型

Study on the Co-Integration Relationship between Shanghai Copper Futures Price and Spot Price—Based on the VECM and TVECM Models

摘要: 本文通过构建VECM模型和TVECM模型对上海铜期货价格和现货价格之间的协整关系进行了分析。实证研究结果表明：在VECM (2)模型中，铜的现货市场与期货市场之间存在着现货向期货的单项协整关系，非均衡误差对铜的现货对数化价格影响更加显著；在滞后2阶的情况下，铜现货对数化价格与期货对数化价格互为格兰杰因果，二者之间存在双向引导关系。在TVECM模型中引入投资者的交易成本后，门限估计值分别为0.032、0.117。通过进一步分析后发现在短期时间内当铜的现货对数化价格与期货对数化价格之间的基差大于0.117时，可以通过铜的期货对数化价格判断现货的价格走势。最后根据研究结论，提出了相应的对策建议。

Abstract: This paper analyses the co-integration relationship between Shanghai copper futures price and spot price by constructing VECM model and TVECM model. The results of the empirical study show that in the VECM (2) model, there is a spot-to-futures monotonic co-integration relationship between the spot market and the futures market of copper, and the imbalance error has a more significant impact on the spot logarithmised price of copper. At lag order 2, the spot logarithmised price of copper and the futures logarithmised price are Granger-causal to each other, and there is a two-way bootstrapping relationship between them. After the introduction of in-vestors’ transaction costs in the TVECM model, the threshold estimates are 0.032, 0.117. Through further analysis, it is found that in the short-term time when the basis difference between the spot logarithmic price of copper and the futures logarithmic price is greater than 0.117, the price trend of the spot can be judged by the futures logarithmic price of copper. Finally, based on the conclusions of the study, corresponding countermeasures are proposed.