气候风险对普麦期货价格波动的影响  

The Impact Of Climate Risk On The Price Fluctuation Of Wheat PM Futures

作　　者：蔡欣芮 梁雨凡 

机构地区：[1]安徽大学,安徽合肥230601

出　　处：《浙江金融》2023年第4期73-80,共8页Zhejiang Finance

摘　　要：本文通过构造我国小麦主产区的天气标准化指数衡量气候风险,实证研究了气候风险对我国期货市场普麦期货价格波动性的影响。研究发现,极端高温、极端低温和强降水等气候风险事件的发生会显著提高期货价格的波动性。机制分析表明,气候风险除了直接影响普麦期货价格波动性外,还通过影响现货价格波动性间接对普麦期货价格波动性造成正向影响。本文研究为农产品期货市场应对气候风险、促进农业生产、保障粮食安全提供了思路。This paper measures the climate risk by constructing the weather standardization index of the main wheat producing areas in China,and empirically studies the influence of the climate risk on the price volatility of the Wheat PM futures in China's futures market.The study found that the occurrence of climate risk events such as extreme high temperature,extreme low temperature and heavy precipitation will significantly increase the volatility of futures prices.Mechanism analysis shows that climate risk not only directly affects the price volatility of Wheat PM futures,but also has an indirectly positive impact on the price volatility of Wheat PM futures by affecting the spot price volatility.This paper provides ideas for the agricultural products futures market to deal with climate risks,promote agricultural production,and guarantee food security.

关 键 词：气候风险 普麦期货 价格波动性 期现货市场 

分 类 号：F832.5[经济管理—金融学]