选取中国2018年3月26日—2019年9月30日上海原油期货（INE原油期货）与精对苯二甲酸（PTA）期货主力合约价格连续数据，采用平滑转换回归模型（STR）对INE原油期货与PTA期货价格关联性展开研究。结果表明，从顺向联动的视角来看，在不考虑非线性的影响时，原油期货价格与PTA期货价格之间的关系是正向的，但非线性关系的加入降低了这种联动效果；从逆向联动的视角来看，无论是否存在非线性的作用，二者都呈正相关。

Taking the continuous data of main future contract prices of Shanghai crude oil (INE) futures and purified terephthalic acid (PTA) futures from March 26th,2018 to September 30th,2019 as study objects,the correlation between the prices of INE futures and PTA futures is studied by using smooth transition regression (STR) model.It is found that from the perspective of forward linkage,the relationship between INE futures price and PTA futures price is positive without considering the impact of non-linearity,but the addition of nonlinear relationship reduces the linkage effect.From the perspective of reverse linkage,the relationship between INE futures price and PTA futures price is positive correlation,whether there is nonlinear effect or not.

马郑玮(1980-),男,博士,副教授,主要研究方向为金融风险管理、能源管理、能源金融