中美粮食期货的价格关联及波动溢出效应——基于多元T分布下VAR-BEKK-MGARCH模型的实证分析  

Information flows between the U.S and China's Food Futures Markets

作　　者：郑金英[1] 翁欣[2] 

机构地区：[1]福建农林大学经济学院 [2]北京大学汇丰商学院

出　　处：《价格理论与实践》2017年第3期128-131,共4页Price:Theory & Practice

摘　　要：在全球粮食价格剧烈波动的背景下,本文对2005-2016年中美玉米、小麦、大豆期货价格交易日的高频数据进行研究。本文采用多元T分布下多元向量自回归模型(VAR)和多变量广义自回归条件异方差模型(BEKK-MGARCH),分析中美粮食期货市场之间的价格关联和波动溢出效应。结果表明:美国市场在价格传导和波动溢出上对中国市场占主导作用,中国在国际市场上仍然缺乏定价权。近年来,中国一些市场化程度较高的期货产品已经对国际市场有显著的波动溢出效应,同时政府监管和贸易机制会影响期货市场间的波动传导。Nowadays, global food markets experience severe price escalation and volatility fluctuations. This paper examines the price linkage and volatility spillover effects of Sino-U.S. corn, wheat and soybeans. Since Student＇s t distribu- tion is more suitable to capture the heavy-tails in futures returns than normal dis- tribution, this paper adopts VAR-MGARCH model with multivariate-t error terms. The empirical results indicate that the U.S. plays a major role in terms of mean and volatility transaction over China. Also, some commodities with high marketization in China have significant the volatility spillovers to the international market. Govern- ment regulation and trade affect volatility transactions across-markets.

关 键 词：粮食期货 价格关 波动溢出 多元T分布 VAR-BEKK-MGARCH模型 

分 类 号：F313.7[经济管理—产业经济] F713.35