中美棉花期货价格波动特征及联动性研究  

Research on the fluctuation characteristics and linkage of Chinese and American cotton futures prices

作　　者：王露爽 高祥晓 卢秀茹[1] WANG Lu-shuang;GAO Xiang-xiao;LU Xiu-ru(School of Economics and Management,Hebei Agricultural University,Baoding,Hebei 071000)

机构地区：[1]河北农业大学经济管理学院,河北保定071000

出　　处：《价格月刊》2021年第9期10-17,共8页

基　　金：河北省二期现代农业产业技术体系创新团队建设项目“棉花产业经济与发展研究”(编号:HBCT2018040301);河北省科学技术厅软科学研究专项“河北省太行山区生态农业高质量发展路径与机制创新研究”(编号:20557667D)。

摘　　要：选取2018年1月1日—2021年1月31日中美棉花期货市场727组数据,运用GARCH模型、VAR模型、脉冲响应分析等金融时间序列模型对中美棉花期货价格波动特征及联动性进行实证研究,得出结论:中美棉花期货收益序列波动具有持续性特点,且具有负杠杆效应,但不具有“高风险、高收益”特征。中美棉花期货价格均为一阶单整关系,无论从长期分析还是短期分析,美国棉花期货价格都对中国棉花期货价格具有单向引导作用。最后,依据实证分析结论为促进我国棉花期货市场健康运行,提出相关对策建议。This paper selected 727 sets of data from the Chinese and American cotton futures market from January 1,2018 to January 31,2021,and used financial time series models such as GARCH model,VAR model,and impulse response analysis to analyze the fluctuation and linkage of Chinese and American cotton futures prices.The conclusion is that the fluctuation of Chinese and American cotton futures income series has the characteristics of persistence and negative leverage effect,but it is not characterized by"high risk,high return".The price of cotton futures in China and the United States is a first-order single-integration relationship.Whether from long-term analysis or short-term analysis,US cotton futures prices have a one-way guiding role for China′s cotton futures prices.Finally,according to the conclusion of empirical analysis,this paper put forward relevant countermeasures and suggestions to promote the healthy operation of China′s cotton futures market.

关 键 词：棉花期货价格 ADF检验 GARCH模型 VAR模型 定价权 

分 类 号：F323.7[经济管理—产业经济]