中美贸易摩擦背景下我国棉花期货与现货价格波动研究  

Research on the Fluctuation of China's Cotton Futures and Spot Price under the Background of Sino-us Trade Friction

作　　者：刘敏[1] 王鼎 LIU Min;WANG Ding(School of International Economics and Trade,Anhui University of Finance and Economics,Bengbu 233030,China)

机构地区：[1]安徽财经大学国际经济贸易学院,安徽蚌埠233030

出　　处：《信阳农林学院学报》2021年第1期25-30,共6页Journal of Xinyang Agriculture and Forestry University

基　　金：安徽高校人文社会科学重点研究项目(SK2019A0495)。

摘　　要：由于中美贸易摩擦的不断升级外加新冠肺炎疫情的冲击,棉花价格出现了剧烈的波动。建立一个运行良好的棉花期货市场对于稳定棉花的价格具有重要的意义。文章运用协整检验、结构向量自回归模型、BEKK-GARCH(1,1)模型和Wald检验对我国棉花期现货市场间的价格传导和溢出效应进行深入探讨。结果表明,棉花期货价格与现货价格之间存在长期稳定的关系;BEKK-GARCH(1,1)模型估计和Wald检验结果表明,棉花期货与现货市场间存在着双向波动溢出效应。最后从期货交易参与者和政府部门的角度分别提出了针对性的政策建议。Due to the escalating sino-us trade friction and the impact of the new crown epidemic,cotton prices during this period there was a sharp fluctuation.The establishment of a well-functioning cotton futures market for the stability of cotton prices is of great significance.In this paper,we use co-integration test,structural Vector auto regression,BEKK-GARCH(1,1)model and Wald test to study the price conduction and spillover effect in Chinese cotton futures spot market.The results show that there is a long-term stable relationship between cotton futures price and spot price,and the estimation of BEKK-GARCH(1,1)model and Wald test show that there is a two-way volatility spillover effect between cotton futures and spot market.Finally,from the futures trading participants and the perspective of the government departments put forward targeted policy recommendations.

关 键 词：棉花期货 价格波动 波动溢出效应 

分 类 号：F830.91[经济管理—金融学]