极端事件冲击下立足国家粮食安全视角的四大粮食期货市场分析  

Research on the Four Agricultural Commodity Futures Markets Based onNational Food Security under the Impact of Extreme Events

作　　者：杨杰 冯芸[1] 杨豪 YANG Jie;FENG Yun;YANG Hao(Shanghai Jiao Tong University,Shanghai,China;University of Chinese Academy of Sciences,Beijing,China)

机构地区：[1]上海交通大学安泰经济与管理学院,上海市200030 [2]中国科学院大学经济与管理学院

出　　处：《管理学报》2024年第1期96-106,共11页Chinese Journal of Management

基　　金：国家社会科学基金资助重点项目(22AZD133);国家自然科学基金资助项目(72273090)。

摘　　要：通过多重分形理论,探究国内外小麦、稻谷、玉米和大豆四大粮食期货市场价格的运行特征和相关性特征。研究表明:尽管从2020年起国内外各粮食期货的价格整体都趋于上涨,但国内外价格的内在运行机制存在着显著的差异;2020年之后国际4种粮食期货的多重分形特征都有着或多或少的增强,而国内市场的多重分形强度均大幅度减弱;国内外市场间交叉相关性的多重分形强度也都有所降低,但由于我国大豆仍存在着较大的进口依赖风险,大豆的降低幅度较小;国内外市场间相关性的复杂程度降低,交叉市场风险减少,可有效降低风险预警和决策的成本。Based on the multifractal theory,this study explores the operation characteristics and cross-correlation characteristics of the four agricultural commodity futures prices for wheat,rice,corn and soybean at home and abroad.The results show that although the international and domestic agricultural commodity futures prices have all risen since 2020,there are significant differences in the internal operation mechanism of domestic and foreign market prices;Since 2020,the multifractal characteristics of the four international grain futures have been enhanced more or less,while the multifractal strength of the domestic market has been significantly weakened;The multifractal strength of cross-correlation between domestic and foreign markets has also decreased,but the decrease of soybean is slight due to the still high import dependence;The complexity of cross-correlation between domestic and foreign markets has decreased,and the cross-market risk has reduced,which can effectively reduce the cost of risk early warning and decision-making.

关 键 词：新冠疫情 俄乌战争 粮食安全 农产品期货 多重分形分析 

分 类 号：C93[经济管理—管理学]