我国农产品期货市场流动性测量及“跨品种”动态溢出研究  

Liquidity Measurement and Cross-variety Dynamic Spillover in the Chinese Agricultural Commodity Futures Market

作　　者：徐媛媛[1] 王传美[2] XU Yuanyuan;WANG Chuanmei

机构地区：[1]华中农业大学经济管理学院,武汉430070 [2]武汉理工大学数学系,武汉430070

出　　处：《农业技术经济》2021年第11期62-77,共16页Journal of Agrotechnical Economics

基　　金：国家自然科学基金项目“蔬菜市场不确定性价格波动风险外溢效应及应对策略研究”(编号:71873051);国家自然科学基金项目“农产品期货与现货联合价格分布估计、基差风险与含权套期保值研究”(编号:72173052);国家自然科学基金项目“农产品期货市场泡沫风险的测度、形成机理与预警研究”(编号:71803058);教育部规划基金项目“‘逆全球化’背景下国际农业知识产权风险测度与反制策略研究——基于产业安全视角”(编号:19A10490020)。

摘　　要：本文基于豆粕、橡胶等8种主要农产品期货主力合约的日度交易信息,以FHT价差作为流动性代理,度量了合约上市以来流动性的历史演化,并构建了滚动协整、VEC模型与时变Copula模型以探讨流动性的"跨品种"溢出机制。研究发现:第一,不同农产品期货品种间流动性变动呈现"同涨共跌"的态势,农产品价格市场化改革增大了玉米、棉花等期货市场的风险敞口;第二,油脂类期货(豆油、棕榈油等)是农产品期货市场流动性"跨品种"传递网络的主导品种,对流动性系统风险的感知能力较强;第三,极端事件往往会导致市场间流动性依赖偏离常态,其中正冲击作用下市场联合利好是短暂、易逝的,而负冲击下流动性的联合下跌是一种"常态化"事件。因此,本文的研究为从源头上防控中国农产品期货市场流动性风险及其"跨品种"传染提供理论依据,具有较强的现实意义。Using daily data of dominant contracts across 8 major agricultural commodity futures(soybean meal,rubber,etc.)to construct FHT spread proxy for the liquidity,the paper studies the historical evolution of market liquidity since listing,and employs the rolling cointegration,VEC model and time-varying Copulas to discuss cross-variety liquidity spillover mechanism.Findings show that:firstly,there is a high similarity in liquidity movement across varieties,and market-oriented pricing increases the risk exposure of corn,cotton,etc.futures markets;secondly,oil-related futures(soybean oil,palm oil,etc.)are the dominant varieties in a transmission network of agricultural futures market liquidity,and they are capable of capturing earlier systematic liquidity risk;thirdly,extreme events often lead to the deviation of cross-variety liquidity dependence from the normal,with a prevailing(transitory)joint fall(increase)of liquidity when encountering a negative(positive)shock.These provide theoretical support for preventing and controlling originally liquidity risk and its contagion across China’s agricultural futures markets,which is of significance in practice.

关 键 词：农产品期货市场 FHT价差 流动性溢出 尾部依赖 时变Copula模型 

分 类 号：F724.5[经济管理—产业经济] F323.7