中美粮食期货市场极端风险的幂律溢出效应研究  

Research on the Power Law Spillover Effect of Extreme Volatility in China-US Grain Futures Markets

作　　者：秦静 乔虹 QIN Jing;QIAO Hong

机构地区：[1]黄淮学院经济与管理学院,驻马店463000 [2]河南省智能机器人行为优化控制国际联合实验室,驻马店463000 [3]西安交通大学经济与金融学院,西安710061

出　　处：《世界农业》2022年第9期53-64,共12页World Agriculture

基　　金：河南省软科学项目:河南省粮食价格风险的网络传染机制研究——基于金融科技的视角(212400410075),数字金融助推河南省脱贫农户优化资产配置的机制与路径研究(222400410143)。

摘　　要：本文采用EES指标对粮食期货市场的极端风险进行有效测度,并运用多重去趋势移动平均交叉相关分析模型考察中美粮食期货市场(2015—2020年)极端风险间的幂律联动特征。研究发现,中美粮食期货市场的极端波动间存在幂律联动关系。极端风险下,中美粮食期货市场的波动趋势呈反向趋势,市场的利差被进一步放大。相比大豆、玉米和稻谷期货,中国小麦期货市场面临的极端风险冲击程度最高。偏幂律溢出效应分析显示,在排除了长程相关、恐慌指数、美元指数、国际石油以及地缘政治风险等影响因素后,中美粮食期货市场极端波动间依旧存在显著的非对称、跨品种溢出关系。由此,本文认为加强极端风险下粮食期货市场的监管力度、进一步完善粮食期货品种体系,有利于降低美国粮食期货市场极端风险的冲击。This paper first uses the EES index to measure the extreme risks of grain futures markets.Based on the multifractal detrended moving average cross-correlation analysis, we study the power-law cross-correlation between the extreme risks in China and the United States grain futures market(2015-2020).The empirical results suggest that the extreme risks would increase the interest difference between the domestic and foreign food market.This study also verifies that the risk of wheat futures in China is larger than the soybeans, corns and rice futures when facing a large shock.The net power-law cross-correlation analysis reveals that asymmetric bidirectional risk spillovers exist among China and US grain futures markets(with influences of autocorrelation, VIX,US Dollar, the international crude oil index and the geopolitical risk signals removed).Therefore, this paper believes that strengthening the supervision of China’s grain futures market under extreme risks and further improving China’s grain futures variety system are conducive to reducing the impact of extreme risks in the US grain futures market.

关 键 词：粮食期货 极端风险 偏幂律联动 非线性溢出 

分 类 号：F313.7[经济管理—产业经济] F713.35