上海原油期货与国内农产品期货的动态相关性及溢出效应研究  

Research on the Dynamic Correlation and Spillover Effects between Shanghai Crude Oil Futures and Domestic Agricultural Product Futures

作　　者：张秀丽[1] 刘盈粉 ZHANG Xiuli;LIU Yingfen(School of Business,Zhengzhou University,Zhengzhou 450001,China)

机构地区：[1]郑州大学商学院,郑州450001

出　　处：《中国证券期货》2024年第5期23-35,共13页Securities & Futures of China

摘　　要：本文选取2018年3月27日至2023年12月29日上海原油期货与国内农产品期货市场黄大豆1号、黄大豆2号、玉米、棉花期货的日收盘价数据,利用DCC-GARCH模型刻画了上海原油期货与国内四种农产品期货的动态相关性。在此基础上,构建TVP-VAR-DY模型从静态和动态两个方面测度了上海原油期货与国内农产品期货的溢出效应。研究发现:①上海原油期货与四类农产品期货均具有正相关性,且与黄大豆2号、棉花期货的正相关性最强,与玉米期货的相关性水平在2021年以后整体有所提升。②上海原油期货与国内农产品期货之间存在双向溢出效应,但原油期货对农产品期货市场的影响更大,表明原油市场的波动对农产品期货市场有更为显著的冲击作用。③上海原油期货对黄大豆2号和棉花期货的溢出效应最为显著,其次是玉米期货,而对黄大豆1号期货的溢出效应相对较小。在四种农产品期货中,黄大豆2号对上海原油期货具有显著的溢出效应。④极端事件的发生会加剧上海原油期货与国内农产品期货市场间的溢出水平。As the financialization of energy and agricultural product markets continues to increase,the interconnection between crude oil futures and agricultural product futures markets is is constantly strengthening.This article selects the daily closing price data of Shanghai crude oil futures and four types of domestic agricultural product futures(soybean No.1,soybean No.2,corn,and cotton)from March 27,2018 to December 29,2023.The DCC-GARCH model is used to characterize the dynamic correlation between Shanghai crude oil futures and four domestic agricultural product futures.On this basis,the TVP-VAR-DY model is employed to measure the spillover effects between Shanghai crude oil futures and domestic agricultural product futures from both static and dynamic perspectives.The findings are as follows:①Shanghai crude oil futures have a positive correlation with the four types of agricultural product futures,with the strongest positive correlation observed with soybean No.2 and cotton futures,and the correlation with corn futures has been on an upward trend since the year 2021.②There is a bidirectional spillover effect between Shanghai crude oil futures and domestic agricultural product futures,but crude oil futures having a greater impact on the agricultural product futures market,indicating that fluctuations in the crude oil market have a more pronounced impact on the agricultural product futures market.③The spillover effect of Shanghai crude oil futures on soybean No.2 and cotton futures is the most significant,followed by corn futures,with the spillover effect on soybean No.1 futures being relatively smaller.Among the four types of agricultural product futures,soybean No.2 exhibits a significant spillover effect on Shanghai crude oil futures.④The occurrence of extreme events can intensify the spillover level between Shanghai crude oil futures and the domestic agricultural product futures market.Therefore,attention should be paid to the risk contagion between the two markets,and measures should be taken to prevent

关 键 词：上海原油期货 国内农产品期货 动态相关性 溢出效应 

分 类 号：F724.5[经济管理—产业经济] F323.7F764.1