中美大豆期货市场的极端风险溢出效应研究  

Extreme Risk Spillover Between China and U.S.Soybean Futures Market

作　　者：刘文超 安毅[1] 方蕊[1] LIU Wen-chao;AN Yi;FANG Rui(School of Economics and Management,China Agricultural University,Beijing 100083,China)

机构地区：[1]中国农业大学经济管理学院,北京100083

出　　处：《华南理工大学学报（社会科学版）》2020年第5期79-94,共16页Journal of South China University of Technology(Social Science Edition)

基　　金：教育部中央高校基本科研业务费专项资金项目“我国农产品期货对资产组合的风险分散作用研究”(2019TC092)。

摘　　要：国际粮食期货市场之间的风险传递效应是防范输入型国际粮食风险研究的重点所在,尤其是极端情况下两市场间的风险溢出效应。应用VMD-GARCH-Copula-CoVaR模型对中美大豆期货市场间长短期极端风险溢出效应进行实证。研究发现:首先,中美大豆期货市场之间存在双向极端风险溢出效应,且美国大豆期货市场对我国大豆期货市场极端风险溢出效应更强。其次,我国大豆期货市场与美国大豆期货市场之间的风险溢出存在显著的不对性,尤其是中美大豆期货市场之间的极端风险溢出的长短期效应存在显著差异,应重点关注中美大豆期货市场间极端风险溢出的长期效应。最后,我国农产品政策影响美国大豆期货市场极端风险对我国大豆期货市场的溢出,对我国大豆期货市场的溢出效应在大豆补贴市场化改革之后明显增强。The study of the risk transfer effect between international grain futures markets,especially the risk spillover effect in extreme circumstances, is the key to preventing import-type international grain risk. The VMD-GARCH-Copula-CoVaR model is used to examine the long-and short-term extreme risk spillover effects between the U.S. and Chinese soybean futures markets. The study finds that: firstly, there is a two-way extreme risk spillover effect between the U.S. and Chinese soybean futures markets, and the extreme risk spillovers from the U.S. to China is stronger than those from China to the U.S.. Secondly, there exist significant asymmetries in China and U.S. soybean extreme risk spillovers, especially in short-and long-term effects of extreme risk spillovers, and more attention should be paid to the long-term effects of extreme risk spillovers. Finally, the agricultural product policy in China affects the extreme risk spillovers from the U.S. to China, and the extreme risk spillovers from the U.S. to China increases after Chinese soybean subsidy policy reform.

关 键 词：极端风险溢出 粮食 大豆期货 Copula-CoVaR模型 

分 类 号：F323.7[经济管理—产业经济]