摘要
玉米期货作为我国最早一批设立的农产品期货市场,在套期保值、价格发现等发挥了多方面的作用。近日中国玉米期货市场价格波动剧烈,受到各界高度关注。本文选取2010年—2022年中美玉米期货价格的日度数据,通过构建BEKK-GARCH模型和DCC-GARCH模型,从中美玉米期货市场价格的关联性及溢出效应视角进行分析。结果表明:中美玉米期货市场存在双向的波动溢出效应,并且美国对中国玉米期货市场溢出效应更强;中美两国的玉米期货市场存在很强的动态相关性,即使政策、突发事件也只能产生轻微的影响。
As one of the earliest agricultural futures markets in China, corn futures play many roles in hedging and price discovery. However, recently, with the drastic fluctuations of international oil prices, the market demand for corn has been up and down, making corn futures prices in China and the United States in a "roller coaster" volatility, increasing the risk of loss for investors and stakeholders in the corn industry. In order to explore whether there is volatility spillover effect and dynamic correlation between Corn futures markets in China and the United States, this paper uses BEKK-GARCH model and DCC-GARCH model to conduct quantitative analysis on corn futures prices in China and the United States. The results show that there is a two-way volatility spillover effect in the Corn futures market between China and the United States, and the spillover effect between the United States and the Chinese corn futures market is stronger.There is a strong dynamic correlation between corn futures markets in China and the United States, and even policies and emergencies can only have a slight impact.
作者
周大朋
穆月英
Zhou Dapeng;MU Yueying
出处
《当代农村财经》
2022年第6期58-62,共5页
Contemporary Rural Finance and Economics
基金
国家社会科学基金重大项目“我国粮食生产的水资源时空匹配及优化路径研究”(18ZDA074)。
