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作 者:曹洁[1] 雷良海 Cao Jie;Lei Lianghai
出 处:《投资研究》2019年第7期39-50,共12页Review of Investment Studies
基 金:上海市软科学研究计划项目(18692103000);上海市科学技术委员会软科学重点课题(16692100300)
摘 要:在时变M-Copula模型的基础上,提出并应用变参数、变结构的动态M-Copula模型分别构建了中美商品期货指数、伦铝与沪铝、美豆与连豆之间的动态相依结构,并通过动态尾部相关系数和非线性Granger因果检验来探究中美贸易争端是否加剧了中美商品期货市场的风险传染。实证结果表明,中美贸易争端加剧了中美两国商品期货市场之间的风险传染,特别是对美国进口依赖性较大的大豆期货,而对进口依赖度不高的铝期货在中美贸易争端发生前后的风险传染效应未发生明显变化。On the basis of time-varying M-Copula models, this paper proposes and applies the dynamic M-Copula models with variable parameters and structure to construct dynamic dependence structure between Chinese and American commodity futures index, Lundon-Al and Shanghai-Al, US-Bean and Dalian-Bean respectively, then it explores whether Sino-US trade disputes aggravate risk contagion between commodity futures markets through dynamic tail correlation coefficient and nonlinear Granger causality test. The empirical results show that, Sino-US trade disputes aggravate risk contagion between their commodity futures markets,especially soybean futures which are heavily dependent on imports from the United States. The risk contagion effect of aluminium futures which are not highly dependent on imports has not changed significantly before and after Sino-US trade disputes.
关 键 词:中美贸易争端 商品期货 动态M-Copula 风险传染
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