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近年来,中国的铝期货市场一直保持着稳步健康发展的态势。作为一种重要的工业原材料,铝及其相关产品的价格变动会对一国的经济发展产生较大的影响。因此,研究铝期货价格与现货价格的关系具有重要的理论意义和现实意义。本文以上海期货交易所的铝期货价格和上海地区的铝现货价格为研究对象,用ADF检验、协整检验、向量误差修正模型和Granger因果检验的方法对铝期货价格和现货价格的关系进行了实证研究,得出了以下结论:铝的期货价格与现货价格之间存在长期的均衡关系,它们相互作用、相互影响,互为因果关系。
In recent years, China’s aluminum futures market has maintained a steady and healthy development. As an important industrial raw material, the price changes of aluminum and related products will have a greater impact on the economic development of a country. Therefore, the study of the relationship between the price of aluminum futures and the spot price has important theoretical and practical significance. In this paper, the price of aluminum futures in Shanghai Futures Exchange and the spot price of aluminum in Shanghai are studied. The relationship between the price of aluminum futures and the spot price is studied by using ADF test, co-integration test, vector error correction model and Granger causality test The empirical research draws the following conclusion: there is a long-term equilibrium relationship between the futures price of aluminum and the spot price, and they interact with each other and interact with each other and cause and control each other.