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In this paper Beveridge-Nelson Decomposition is used to examine trend content of soybean purchase price of oil plant in northeast China and soybean future prices of DCE and CBOT, in order to uncover full information in soybean's price discovery process and avoid contemporaneous correlation. It was found that DCE price was consistently more imformative about the fundamental price of soybean because...
According to the characteristics of consumption of coke, based on the analysis of Co-integration theory, the article utilized the model of semi-parametric regression to forecast coke' price by giving the data of coke' consumption market from January 1997 to April 2009 and so as to raise estimation precision of short-term coke' price. The test results of coke and iron price series for both Augmented...
This paper reviews some relevant literatures first, then takes a co-integration test on broad money supply, real estate price index and interbank interest rate, and establishes the error correction model. The conclusions are as follows, it is a negative relationship between interbank interest rate volatility and M2, the coefficient of elasticity is -0.0522; short-term fluctuation of real estate price...
Empirical analysis about the determinants of health care expenditure (HCE) in China has been brought forward based on the co-integration and error correction model. The economy growth, population aging, government finance to hospital and urbanization level are all the long-term and steady-going factors which raised health care expenditure (HCE) in China. However, as indicated by the empirical analysis,...
As theory suggested, urban residents' income should maintain a stable ratio with house price. The recent years, however, the growth of house price is much higher than the growth of income in China, resulting in house affordability problem. This paper, based on China's quarterly time-series data from 1994 to 2006 and applying methods of co-integration test, Granger causality test and error correction...
The paper examines five International stock index spot and futures data to verify whether there exists long-term steady relationship between the index spot and futures prices. Based on the co-integration theory and error correction model (ECM), conclusions are drawn that index spot and futures are co-integrated in most cases and it is possible to do the corresponding short-term dynamic adjustment...
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