我国玉米期现货市场的风险传递效应研究
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摘要
以2016～2017年我国玉米期现货市场为基础,采用双变量EC-EGARCH模型对我国玉米期货市场和现货市场之间的价格引导关系及风险传递效应进行研究。结果表明,我国玉米期货与现货价格之间具有长期均衡关系,期货价格对市场信息的反应速度较快,对现货市场具有引导作用。将协整残差项作为解释变量引入均值方程和条件方差方程,对期货价格与现货价格均有明显的调节作用,更加准确地刻画了二者之间的关系,且协整残差项对期货市场的波动具有负向影响,对现货市场的影响不显著。期货对现货具有单向波动溢出效应,印证了玉米期货对现货市场的引导作用。
This paper studies the relationship and risk transmission between China's corn futures and spot mar-kets with the bivariate EC-EGARCH model based on market data from 2016 to 2017. The results show that long-term equilibrium exists between corn futures and spot markets in China, and the reaction of corn futures on market information is more sensitive. The cointegration residuals has negative impact on futures market volatility, and it is an important explanatory variable for both conditional mean and conditional variance in the spot market and the fu-ture market, so the bivariate EC-EGARCH model with cointegrating residual is a good choice to study the transmis-sion between the spot market and the future market. The future market has volatility spillover effect on the spot mar-ket, and it confirms the guiding role of corn futures on the spot market.
This paper studies the relationship and risk transmission between China's corn futures and spot mar-kets with the bivariate EC-EGARCH model based on market data from 2016 to 2017. The results show that long-term equilibrium exists between corn futures and spot markets in China, and the reaction of corn futures on market information is more sensitive. The cointegration residuals has negative impact on futures market volatility, and it is an important explanatory variable for both conditional mean and conditional variance in the spot market and the fu-ture market, so the bivariate EC-EGARCH model with cointegrating residual is a good choice to study the transmis-sion between the spot market and the future market. The future market has volatility spillover effect on the spot mar-ket, and it confirms the guiding role of corn futures on the spot market.
引文
[1]丁文娜,何玉成,刘长城.我国玉米价格波动趋势及短期预测[J].价格理论与实践,.2014(4):83-84.Ding W N,He Y C,Liu C C.China's corn price fluctuation trend and short-term forecast[J].Price:Theory&Practice,2014(4):83-84.(in Chinese)
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[3]王会娟,肖佳宁,曲双石.中国玉米批发价格的短期预测及预警[J].中国农村经济,2013:44-53.Wang H J,Xiao J N,Qu S S.Short-term forecast and warning of Chinese corn wholesale price[J].Chinese Rural Economy,2013:44-53.(in Chinese)
[4]David Ubilava.Modeling Nonlinearities in the U.S.Soybean-toCorn Price Ratio:A Smooth Transition Autoregression Approach[J].Agribusiness,2012(28):29-41.
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[6]Nicole C,Heather K.Impacts of ethanol policy on corn prices:A review and meta-analysis of recent evidence[J].Food Policy,2015(51):63-73.
[7]杨桂红,曹先磊,张颖.市场化收购、价格补贴与我国玉米市场调控效率[J].价格理论与实践,2016(6):54-57.Yang G H,Cao X L,Zhang Y.Marketized acquisition,price subsidy and regulation efficiency of China's corn market[J].Price:Theory&Practice,2016(6):54-57.(in Chinese)
[8]武拉平.农产品地区差价和地区间价格波动规律研究[J].农业经济问题,2000(10):54-58.Wu L P.Research on the difference between the price fluctuation of agricultural areas and regions[J].Issues in Agricultural Economy,2000(10):54-58.(in Chinese)
[9]赵红雷.中国玉米进出口贸易波动研究[D].西北农林科技大学,2013.
[10]王一飞.我国粮食价格的影响因素分析[J].经济经纬,2016(6):54-59.Wang Y F.Analysis of the factors affecting China's grain price[J].Economic Survey,2016(6):54-59.(in Chinese)
[11]战立强.玉米价格序列的季节波动分析[J].黑龙江畜牧兽医,2014(7):17-19.Zhan L Q.Seasonal fluctuation analysis of corn price series[J].Heilongjiang Animal Science and Veterinary Medicine,2014(7):17-19.(in Chinese)
[12]韩振.供给侧改革背景下我国玉米价格走势预测[J].价格理论与实践,2017(11):99-102.Han Z.Forecast of China's corn price trend under the background of supply side reform[J].Price:Theory&Practice,2017(11):99-102.(in Chinese)
[13]黄建新.中美玉米期货市场对现货市场价格影响的实证分析[J].宏观经济研究,2014(7):5-8.Huang J X.An empirical analysis of the impact of Sino-US corn futures market on spot market price[J].Macroeconomics,2014(7):5-8.(in Chinese)
[14]Chia-LinChang.Modelling volatility spillovers for bio-ethanol,sugarcane and corn spot and futures prices[J].Renewable and Sustainable Energy Reviews,2018(81):1002-1018.
[15]马元元,魏瑶.我国玉米期货价格与现货价格关系的实证研究[J].中国市场,2012(26):37-38.Ma Y Y,Wei Y.An empirical study on the relationship between China's corn futures price and spot price[J].China Market,2012(26):37-38.(in Chinese)
[16]张美琳,张林凤.我国玉米期货市场与现货市场价格关系的实证分析[J].中国证券期货,2013(7):21.Zhang M L,Zhang L F.An empirical analysis of the relationship between China's corn futures market and spot market price[J].Securities&Futures of China,2013(7):21.(in Chinese)
[17]David E.Allen.A cointegration analysis of agricultural,energy and bio-fuel spot,and futures prices[J].Applied Economics,2017(7):804-823.
[18]Watkins C,Mcaleer M.Cointegration analysis of metals futures[J].Mathematics&Computers in Simulation,2002(59):207-221.
[19]Kirkulak-Uludag B,Lkhamazhapov Z.The volatility dynamics of spot and futures gold prices:Evidence from Russia[J].Research in International Business and Finance,2016(38):474-484.
[20]Ramaprasad B.Return and volatility dynamics in the spot and futures markets in Australia:An intervention analysis in a Bivariate EGARCH-X framework[J].Journal of Futures Markets,2001(21):833-850.
[2]韩士专.我国玉米期货价格预测实证分析[J].江西社会科学,2012(6):60-64.Han S Z.Empirical analysis of China's corn futures price forecast[J].Jiangxi Social Sciences,2012(6):60-64.(in Chinese)
[3]王会娟,肖佳宁,曲双石.中国玉米批发价格的短期预测及预警[J].中国农村经济,2013:44-53.Wang H J,Xiao J N,Qu S S.Short-term forecast and warning of Chinese corn wholesale price[J].Chinese Rural Economy,2013:44-53.(in Chinese)
[4]David Ubilava.Modeling Nonlinearities in the U.S.Soybean-toCorn Price Ratio:A Smooth Transition Autoregression Approach[J].Agribusiness,2012(28):29-41.
[5]宫斌斌,刘文明,杨宁,等.吉林省玉米价格波动及其影响因素分析[J].玉米科学,2012(2):148-151.Gong B B,Liu W M,Yang N,et al.Analysis of corn price fluctuation and its influencing factors in Jilin province[J].Journal of Maize Sciences,2012(2):148-151.(in Chinese)
[6]Nicole C,Heather K.Impacts of ethanol policy on corn prices:A review and meta-analysis of recent evidence[J].Food Policy,2015(51):63-73.
[7]杨桂红,曹先磊,张颖.市场化收购、价格补贴与我国玉米市场调控效率[J].价格理论与实践,2016(6):54-57.Yang G H,Cao X L,Zhang Y.Marketized acquisition,price subsidy and regulation efficiency of China's corn market[J].Price:Theory&Practice,2016(6):54-57.(in Chinese)
[8]武拉平.农产品地区差价和地区间价格波动规律研究[J].农业经济问题,2000(10):54-58.Wu L P.Research on the difference between the price fluctuation of agricultural areas and regions[J].Issues in Agricultural Economy,2000(10):54-58.(in Chinese)
[9]赵红雷.中国玉米进出口贸易波动研究[D].西北农林科技大学,2013.
[10]王一飞.我国粮食价格的影响因素分析[J].经济经纬,2016(6):54-59.Wang Y F.Analysis of the factors affecting China's grain price[J].Economic Survey,2016(6):54-59.(in Chinese)
[11]战立强.玉米价格序列的季节波动分析[J].黑龙江畜牧兽医,2014(7):17-19.Zhan L Q.Seasonal fluctuation analysis of corn price series[J].Heilongjiang Animal Science and Veterinary Medicine,2014(7):17-19.(in Chinese)
[12]韩振.供给侧改革背景下我国玉米价格走势预测[J].价格理论与实践,2017(11):99-102.Han Z.Forecast of China's corn price trend under the background of supply side reform[J].Price:Theory&Practice,2017(11):99-102.(in Chinese)
[13]黄建新.中美玉米期货市场对现货市场价格影响的实证分析[J].宏观经济研究,2014(7):5-8.Huang J X.An empirical analysis of the impact of Sino-US corn futures market on spot market price[J].Macroeconomics,2014(7):5-8.(in Chinese)
[14]Chia-LinChang.Modelling volatility spillovers for bio-ethanol,sugarcane and corn spot and futures prices[J].Renewable and Sustainable Energy Reviews,2018(81):1002-1018.
[15]马元元,魏瑶.我国玉米期货价格与现货价格关系的实证研究[J].中国市场,2012(26):37-38.Ma Y Y,Wei Y.An empirical study on the relationship between China's corn futures price and spot price[J].China Market,2012(26):37-38.(in Chinese)
[16]张美琳,张林凤.我国玉米期货市场与现货市场价格关系的实证分析[J].中国证券期货,2013(7):21.Zhang M L,Zhang L F.An empirical analysis of the relationship between China's corn futures market and spot market price[J].Securities&Futures of China,2013(7):21.(in Chinese)
[17]David E.Allen.A cointegration analysis of agricultural,energy and bio-fuel spot,and futures prices[J].Applied Economics,2017(7):804-823.
[18]Watkins C,Mcaleer M.Cointegration analysis of metals futures[J].Mathematics&Computers in Simulation,2002(59):207-221.
[19]Kirkulak-Uludag B,Lkhamazhapov Z.The volatility dynamics of spot and futures gold prices:Evidence from Russia[J].Research in International Business and Finance,2016(38):474-484.
[20]Ramaprasad B.Return and volatility dynamics in the spot and futures markets in Australia:An intervention analysis in a Bivariate EGARCH-X framework[J].Journal of Futures Markets,2001(21):833-850.
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