基于时频分析的农产品期货市场与外汇市场联动关系研究  

Research on Co-movement between Agricultural Futures Markets and Foreign Exchange Market by Time-Frequency Analysis

作　　者：熊正德[1] 文慧[1] 凌语蓉[2] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082 [2]湖南大学数学与计量经济学院,湖南长沙410082

出　　处：《中国管理科学》2013年第S1期255-263,共9页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71171075);国家社会科学基金项目(11BJY007);教育部"长江学者和创新团队发展计划"项目(1RT0916);教育部人文社科规划基金项目(10YJA630180;06JA790030);湖南省软科学计划重点项目(2012ZK2007)

摘　　要：基于时域和频域分析相结合的方式,运用GARCH模型、小波多分辨率方法和Granger因果检验对汇改后的外汇市场和以大豆期货市场为例的农产品期货市场的联动性进行了实证研究,实证结果表明两个市场随着交易周期的增长,其波动溢出关系由农产品期货市场和外汇市场不存在波动溢出关系逐渐变为农产品期货市场与外汇市场之间的双向波动溢出。根据冲击响应图谱,进一步得出汇率对于农产品期货价格的冲击远大于农产品期货价格对于汇率的冲击。Based on a combination of time domain and frequency domain analysis,GARCH model,method of wavelet multi-resolution and Granger causality are introduced in this paper,to study co-movement between the agricultural futures markets and foreign exchange market.Empirical research are carried out on the foreign exchange market which after exchange rate reform and soybean futures market,on behalf of agricultural futures markets.The empirical results show that volatility spillover relationships between the agricultural futures market and the foreign exchange market change from nonexistence to bidirectional,with transaction cycles increasing.Further it can be concluded that the impact exchange rates have on the futures prices far powerful than the impact agricultural futures prices have on the exchange rates,according to impulse response spectrum.

关 键 词：农产品期货市场 外汇市场 联动关系 波动溢出效应 时频分析 

分 类 号：F323.7[经济管理—产业经济] F724.5F832.52