我国鸡蛋期现货市场溢出效应与动态关联研究--基于农产品临储向直补政策转变的数据  

The Spillover Effect and Dynamic Correlation Between Egg Futures Market and Spot Market:Based on the Data of the Agricultural Products Policy from Temporary Storage to Direct Subsidy

作　　者：李志慧[1] 杨浩 LI Zhihui;YANG Hao

机构地区：[1]成都理工大学商学院,四川成都610059

出　　处：《成都行政学院学报》2022年第6期35-44,117,共11页Journal of Chengdu Administration Institute

摘　　要：本文基于2013年11月8日至2019年8月9日鸡蛋期现货市场价格的日度数据,运用二元BEKK-GARCH模型和DCC-GARCH模型,实证分析玉米临储和直补政策下鸡蛋期现货市场间的溢出效应与动态关联性。结果显示,直补期鸡蛋期现货之间存在显著的双向均值溢出和波动溢出效应,且期货市场在价格引导和信息溢出中起到主导作用;鸡蛋期现货市场间相关系数具有明显的时变性,在直补政策实施后呈现逐步上升态势。本文建议完善鸡蛋期货市场运行机制和市场监测预警机制,建立“期货+保险”的保障机制,降低养殖户风险。Based on the daily data of the egg futures and spot market prices from November 8,2013 to August 9,2019,the dual BEKK-GARCH model and DCC-GARCH model were used to analyze the spillover effect and dynamic correlation between the egg futures and spot market under the policy of the corn temporary storage and direct subsidy.The results show that there are significant two-way mean spillover and fluctuation spillover effects between the egg futures and spot market under the policy of direct subsidy and the futures market plays a leading role in price guidance and information spillover.The correlation coefficient of the egg futures and spot market has obvious time variability,and it is gradually rising after the implementation of the direct subsidy policy.It is suggested to improve the operation mechanism and market monitoring and early warning mechanism of the egg futures market,and establish the guarantee mechanism of"futures+insurance"to reduce the risk of farmers.

关 键 词：鸡蛋期现货市场 溢出效应 动态关联性 农产品直补政策 

分 类 号：F830.93[经济管理—金融学]