原油现货和期货价格关系：协整，线性和非线性因果关系【外文翻译】

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1、外文题目：TheRelationshipbetweenCrudeOilSpotandFuturesPrices:Cointegration,LinearandNonlinearCausality出处：EnergyEconomics作者：SteliosD.Bekiros,CeesG.HDiks原文:TheRelationshipbetweenCrudeOilSpotandFuturesPrices:Cointegration,LinearandNonlinearCausality!AbstractThepresentstudyinvestigatesthelinearandnonline

2、arcausallinkagesbetweendailyspotandfuturespricesformaturitiesofone,two,threeandfourmonthsofWestTexasIntermediate(WTI)crudeoil.ThedatacovertwoperiodsOctober1991-October1999andNovember1999-October2007,withthelatterbeingsignificantlymoreturbulent.ApartfromtheconventionallinearGrangertestweapplyanew

3、nonparametrictestfornonlinearcausalitybyDiksandPanchenkoaftercontrollingforcointegration.Inadditiontothetraditionalpairwiseanalysis,wetestforcausalitywhilecorrectingfortheeffectsoftheothervariables.Tocheckifanyoftheobservedcausalityisstrictlynonlinearinnature,wealsoexaminethenonlinearcausalrelat

4、ionshipsofVECMfilteredresiduals.Finally,weinvestigatethehypothesisofnonlinearnon-causalityaftercontrollingforconditionalheteroskedasticityinthedatausingaGARCH-BEKKmodel.WhilstthelinearcausalrelationshipsdisappearafterVECMcointegrationfiltering,nonlinearcausallinkagesinsomecasespersistevenafterGA

5、RCHfilteringinbothperiods.Thisindicatesthatspotandfuturesreturnsmayexhibitasymmetriesandstatisticallysignificanthigher-ordermoments.Moreover,theresultsimplythatifnonlineareffectsareaccountedfor,neithermarketleadsorlagstheotherconsistently,videlicetthepatternofleadsandlagschangesovertime.Keywords

6、:Nonparametricnonlinearcausality;OilFuturesMarket;15Cointegration;Theroleoffuturesmarketsinprovidinganefficientpricediscoverymechanismhasbeenanareaofextensiveempiricalresearch.SeveralstudieshavedealtwiththeLead-lagrelationshipsbetweenspotandfuturespricesofcommoditieswiththeobjectiveofinvestigati

7、ngtheissueofmarketefficiency.GarbadeandSilber(1983)firstpresentedamodeltoexaminethepricediscoveryroleoffuturespricesandtheeffectofarbitrageonpricechangesinspotandfuturesmarketsofcommodities.TheGarbade-Silbermodelwasappliedto