短期利率期貨不論在理論或實證研究上，大多預測期貨市場對於新資訊的反應能力較現貨市場快，且可能加速現貨市場反應新資訊的速度，亦即隱含明顯的領先落後關係。本研究以美國短期利率期貨中的三個月期美國國庫券期貨與現貨及三個月期歐洲美元期貨與現貨，1994年至2002年的收盤價為研究對象，進行短期利率期貨市場和現貨市場關聯性的探討。 在期貨和現貨價格關聯性方面，經以ADF及PP單根檢定法進行研究，發現不論是美國國庫券期貨與現貨及歐洲美元期貨與現貨，皆存在單根的現象。以Johansen共整合進行長期均衡關係檢定，美國國庫券與歐洲美元的期貨和現貨皆存在長期均衡的共整合關係，代表期貨和現貨有長期的均衡關係；利用ECM 模型，得出短期失衡時，不論是美國國庫券或歐洲美元皆由期貨市場進行調整，而美國國庫券期貨和歐洲美元期貨是同時調整；Granger 因果關係中，美國國庫券和歐洲美元皆為期貨領先現貨的單向關係，而在美國國庫券期貨與歐洲美元期貨中為互為回饋關係。 From the financial theories and previous empirical studies, most of the people will foresee that the futures market is more sensitive than the spot market, and the futures market may promote the spot market as well. In other words, it implies a significant lead-lag relationship. The purpose of this study is to discuss the relationships between the U.S. short interest futures market and the spot market based on the closing price from 1994 to 2002 of the three-month Treasury bills and Eurodollars. On the relationship between prices of futures and spot, this research will apply Johansen co-integration method to evaluate the long-run equilibrium relationship. Our results indicate that both the futures and spot of three-month Treasury bills and three-month Eurodollars exist the long-run equilibrium relationship. Moreover, we employ the ECM to confirm that there is a short-term imbalance on the market, and the three-month Treasury bills and three-month Eurodollars will exercise futures to do the adjustment, but the Treasury bills futures and Eurodollars futures will reach the equilibrium simultaneously. By Granger causality model, we distinguish that there exists a unidirectional relationship on treasury bills and Eurodollars and the spot takes the lead. However, there exists a feedback relationship between Treasury bills futures and Eurodollars futures.
