论文部分内容阅读
京津冀地区小麦是北方的主要农产品之一。其小麦价格走势,对京津冀小麦生产商、经销商、期货投资者的投资决策有重要影响。京津冀地区的小麦现货价格与郑商所小麦的期货价格时间序列的单位根检验是其协整分析和建立预测模型的前提。实证研究表明,在5%的显著性水平上,京津冀地区的小麦现货价格与郑商所小麦的期货价格时间序列平稳,不存在单位根。在间隔两个月时,郑州品交易所的硬白小麦(普麦)期货价格与京津冀地区小麦现货价格之间存在相关性。
The Beijing-Tianjin-Hebei region is one of the major agricultural products in the north. The price trend of wheat has a significant impact on the investment decisions of Beijing-Tianjin-Hebei wheat producers, distributors and futures investors. The unit root test of the spot price of wheat in Beijing, Tianjin and Hebei provinces and the futures price of wheat in Zhengshang are the precondition for its cointegration analysis and prediction model establishment. Empirical studies show that at the 5% level of significance, the spot prices of wheat in the Beijing-Tianjin-Hebei region and the futures prices of Zhengshang’s wheat are stable in time series, and there is no unit root. At two-month intervals, there was a correlation between the futures price of hard white wheat (Putma) on the Zhengzhou Commodity Exchange and the spot price of wheat in the Beijing-Tianjin-Hebei region.