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英文文献：Are Interest Rates Necessary For Temporal Cointegration? Evidence From The London Metal Exchange (Lme)-利率对时间协整是必要的吗?来自伦敦金属交易所(Lme)的证据
英文文献作者：Zhou, Haijiang,Roberts, Matthew C.,Zulauf, Carl R.
英文文献摘要：
This study examines the long run relationship between 1-day and 3-month futures prices for five metals at the London Metal Exchange (LME) and further investigates the role of interest rates in this relationship. A battery of stationarity tests and cointegration tests are applied to a simple cost of carry model, which contains the interrelationship between prices of the same commodity for delivery at two different dates and the cost of carry term. Results provide strong evidence that 1-day and 3-month metals futures prices are cointegrated and that interest rates are not needed to find this cointegration. These findings are confirmed in an analysis of the truncated sample period of 1979-1984 when the interest rates were highly volatile. Our finding calls into question the role of interest rates in the cointegration of temporal spreads, such as their proposed role in cash-futures cointegration, and seems to at odds with the cost of carry theory. To examine this anomaly, a further analysis of a quadvariate cointegration is conducted and results show that cointegration exists for 1-day and 3-month metals futures prices, 3-month interest rates and physical storage costs. These findings are consistent with Working's cost of carry theory.
本研究考察了伦敦金属交易所(LME) 5种金属1日期货价格与3个月期货价格的长期关系，并进一步研究了利率在这一关系中的作用。摘要采用平稳性检验和协整检验对简单运输成本模型进行了分析，该模型包含同一商品在两个不同日期交货的价格与运输成本之间的相互关系。结果提供了强有力的证据，1日和3个月的金属期货价格是协整的，而不需要利率发现这种协整。这些发现在对1979-1984年截短样本时期的分析中得到了证实，当时的利率高度波动。我们的发现对利率在时间价差协整中的作用提出了质疑，例如它们在现金期货协整中的拟议作用，而且似乎与携带成本理论不一致。为了检验这一异常现象，我们对四价协整进行了进一步的分析，结果表明，1日和3个月的金属期货价格、3个月的利率和实物存储成本存在协整现象。这些发现与工作的携带成本理论一致。
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