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1 4 4 4 Granger 4 4 Granger Granger JEL Classfcaons C32, G3
2 7 CRB(Commody Research Bureau)200 BRICs Pndyck/Roemberg herd Pndyck/Roemberg Pndyck/Roemberg Booh/Cner (200) Dawson/Whe (2002)Karbuz/Jumah(995)Mallars/Urrua(996)Yang(2004) Booh/Cner(200) Dawson/Whe (2002) LIFFE(London Inernaonal Fnancal Fuures Exchange) 2
3 Johansen Karbuz/Jumah(995) CSCECoffee Sugar Cocoa Exchange London Fox (London Fuure and Opons Exchange) Engle/Granger Mallars/Urrua(996) CBOT(Chcago Board of Trade)oasoybean meal Engle/Granger 6 Yang(2004) CBOT(Chcago Board of Trade)oa Johansen 4 Booh/Cner(200) Booh/Cner(200) NON-GMO
4 2 \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ 4
5 Granger/Newbold (974)Spurous Regresson Phllps(986)() (2) 2 Engle/Granger987 I() 2 Engle/Granger(987) Johansen(988) 3 VARVecor AuoRegresson 3 Kwaowsk/Phllps/Schmd/Shn(992) 2 ADF Dcky/Fuller(979) Dcky/Fuller(98) 5
6 2 Engle/Granger Johansen (988) 4 Johansen 4 Johansen (988) 3.3 Granger Granger 4 Granger Toda/Yamamoo995VAR Granger 3 Toda/Yamamoo995 p p + AIC 4 GOSICORU Granger ()(4) 4 4 () Granger GO 0 + λ + α SI + β CO + χ RU + δ = = = = = κ GO + u () SI = κ 0 + λ + α SI + β CO + χ RU + δ = = = = GO + u (2) 3 (996) 6
7 CO = κ 0 + λ + α SI + β CO + χ RU + δ = = = = GO + u (3) RU = κ 0 + λ + α SI + β CO + χ RU + δ = = = = GO + u (4) 4. KPSS I() 7
8 I() Johansen I()I(2)2 8
9 4 9
10 4.3Granger Toda/Yamamoo995 Granger 5 0
11 4 4 4 Granger 4 4
12 6 4 4 Granger 5 p X k VAR X + λ + u (A) = Π X + K + Π k X k X p I()u 0 Λ λ X = Γ X K + Γ X + Π X + λ + u (A2) k k + k ΓI = I + Π + K + Π, ( =, K, k ) Π = I + Π + K+ Π k X I()(A2) Π X 0 rank ( Π) < p Π p X r rank (Π) =r 5 (992)995Hamlon994Johansen(988) 2
13 ' Π = αβ (A2) X = Γ X + Γ X + α β ' K X + λ + u (A3) k k + k β ' β ' X k I(0) Johansen (A2.4) ECM VAR r Π r r rank(π) p rank(π) r + 2 Oserwald-Lenum(992) Johansen/Juselus(990) Zhang(993) Johansen(988)9 3
14 2003 No.2pp-5. (996). (992)Johansen, (995). Booh,G.G. and C.Cner(200), Lnkages among Agrculural Commody Fuures Prces: Evdence from Tokyo, Appled Economcs Leers,8,pp Dawson,P.J. and B.Whe (2002), Inerdependences beween Agrculural Commody Fuures Prces on he LIFFE, Journal of Fuures Markes,Vol.22, pp Dckey,D.A. and W.Fuller (979), Dsrbuon of he Esmaors for Auoregressve Tme Seres wh a Un Roo, Journal of he Amercan Sascal Assocaon,Vol.74, pp Dckey,D.A. and W.Fuller (98), Lkelhood Rao Sascs for Auoregressve Tme Seres wh A Un Roo, Economerca,Vol.49,pp Engle,R.F. and C.W.J.Granger (987), Co-Inegraon and Error Correcon: Represenaon, and Tesng, Economerca,Vol.55,pp Granger,C.W.J. and P.Newbold (974), Spurous Regressons n Economercs, Journal of Economercs,Vol.2,pp.-20. Hamlon,J.S.(994),Tmes Seres Analyss, Prnceon Unversy Press. Johansen,S. (988) Sascal Analyss of Conegraed Vecors, Journal of Economc Dynamcs and Conrol,Vol.2,pp Johansen,S. and K.Juselus(990), Maxmum Lkelhood Esmaon and Inference on Conegraon Wh Applcaon To The Demand For Money, Oxford Bullen of Economcs and Sascs, Vol.52,pp Karbuz,S. and A.Jumah(995), Conegraon and Commody Arbrage, Agrbusness, Vol., pp Kwakowsk,D., P.C.B.Phllps, P.Schmd and Y.Shn(992), Tesng he Null Hypohess of Saonary agans he Alernave of a Un Roo, Journal of Economercs, Vol.54,pp Mallars,A.G. and J.L.Urrua(996), Lnkages beween Agrculural Commody Fuures Conracs, Journal of Fuures Markes,Vol.6,pp
15 Oserwald-Lenum,M. (992) Praconers Corner A Noe wh Quanles of he Asympoc Dsrbuon of he Maxmum Lkelhood Conegraon Rank Tes Sascs, Oxford Bullen of Economcs and Sascs,Vol.54,3,pp Phllps,P.C.B.(986), Undersandng Spurous Regressons n Economercs, Journal of Economercs, Vol.33,pp Pndyck,R.S. and J.J.Roemberg (990), The Co-movemen of Commody Prces, Economc Journal,Vol.00,pp Toda,H.Y.and T.Yamamoo (995), Sascal Inference n Vecor Auoregressons wh Possbly Inegraed Processes, Journal of Economercs,Vol.66,pp Yang,J.(2004), Governmen Polcy and Prce Comovemens n Commody Fuures Markes, Amercan Busness Revew, January,pp.-0. Zhang,H. (993) Treasury Yeld Curves and Conegraon, Appled Economercs,25, pp () (2) 960 (3) (4) (5) (a)ineres Raes and Moneary Polcy n Japan2005.3NUSS :Ngaa Unversy Scholars Seres,No.2. 5
16 (b) ,. (c),. (a) NO.7,pp (b) ,pp (c) ,pp.-4. (d) ,pp (e) , pp
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