基于协整理论的棉花价格与纺织生产相关性

纺织学报 ›› 2012, Vol. 33 ›› Issue (10): 147-152.

基于协整理论的棉花价格与纺织生产相关性

张立杰^1,2,寇纪淞¹,李敏强¹,彭利²

1. 天津大学管理与经济学部
2. 新疆大学经济与管理学院

收稿日期:2011-12-12 修回日期:2012-05-18 出版日期:2012-10-15 发布日期:2012-10-17
通讯作者: 张立杰 E-mail:xjzlj@163.com
基金资助:
国学自然科学基金资助项目

Research on correlation of cotton price and textile production based on co-integration theory

Received:2011-12-12 Revised:2012-05-18 Online:2012-10-15 Published:2012-10-17
Contact: Li-Jie ZHANG E-mail:xjzlj@163.com

摘要/Abstract

摘要： 对2000年至2011年间纱线产量、化纤产量、棉花价格的相关关系进行了实证研究。运用协整理论分析了棉花价格与纺织生产长期相关性，在协整的基础上分析棉花价格变动、纱线产量变动、化纤产量变动的Granger因果。结果表明，棉花价格、纱线生产、化纤生产之间具有长期协整关系，但纱线生产、化纤生产对棉花价格的影响有限；纺织行业生产量变动不是引起棉花价格变动的Granger原因；化纤作为棉花替代品的作用不明显。

关键词: 棉花价格, 纱线产量, 化纤产量, 协整分析, Granger因果

Abstract: This paper analyzes correlation among yarn production, fiber production and cotton price from 2000 to 2011 in China. The paper first uses the co-integration analysis among these variables, then, try Granger causality test with cotton price volatility, yarn production volatility and fiber production volatility. Result shows the following conclusions, cotton price, yarn production and fiber production have long term co-integration, yarn production, fiber production have little impact on cotton price; volatility of the textile demand has little impact on cotton price volatility;fiber has little effect as cotton alternatives.

Key words: cotton price, yarn production, chemical fiber production, co-integration analysis, Granger causality

中图分类号:

F405

张立杰寇纪淞李敏强彭利. 基于协整理论的棉花价格与纺织生产相关性[J]. 纺织学报, 2012, 33(10): 147-152.

参考文献

Metrics

Viewed

Full text

Abstract

Cited

Shared

Discussed