中美大豆期货价格的关联性分析——基于小波分析和Copula模型  

Correlation analysis of soybean futures prices between China and the United States:Based on wavelet analysis and Copula model

作　　者：王晓艺 邹家骏 WANG Xiao-yi;ZOU Jia-jun(School of Economics and Trade(Research Center of Water Economy and Management),Nanchang Institute of Technology,Nanchang,Jiangxi 330099;Department of Economics,Party School of Jiangxi Provincial Committee of CPC,Nanchang,Jiangxi 330108)

机构地区：[1]南昌工程学院经济贸易学院(水经济与管理研究中心),江西南昌330099 [2]中共江西省委党校经济学教研部,江西南昌330108

出　　处：《价格月刊》2024年第11期22-29,共8页

基　　金：国家社会科学基金“后扶贫时代的返贫风险预警及其防范机制研究”(编号:21BJL094);2023年度江西省党校(行政学院)系统哲学社会科学研究课题“健全农村金融服务体制机制研究”(编号:23QN19)。

摘　　要：大豆期货作为大宗农产品交易中重要的品种,关乎着中国的粮食安全与金融安全。选取2014—2023年中国大豆期货价格(大连商品交易所)和美国大豆期货价格(芝加哥商品交易所)的日度数据,利用小波分析将中美大豆期货价格数据分解、重构为低频趋势和高频细节两部分,随后通过构建Copula模型检验中美大豆期货价格数据的低频趋势与高频细节之间的关联性,并研究了中美大豆期货价格数据的低频趋势和高频细节之间的传导方向。结果发现:中美大豆期货价格数据的低频趋势之间存在高度关联性,但高频细节关联性较弱;在传导方向上,中美大豆期货市场在低频趋势方面存在双向影响关系,但高频细节方面,仅体现出美国大豆期货市场对中国市场的溢出效应。Soybean futures,as an important variety in the trading of agricultural products,is related to China’s food security and financial security.This paper selects the daily data of Chinese soybean futures price(Dalian Commodity Exchange)and American soybean futures price(Chicago Mercantile Exchange)from 2014 to 2023,and uses wavelet analysis to decompose and reconstruct the data of Chinese and American soybean futures price into two parts:Low frequency trends and high frequency details.Then,this paper tests the correlation between low frequency trend and high frequency detail of Chinese and American soybean futures price data by constructing Copula model,and studies the transmission direction between low frequency trends and high frequency details of Chinese and American soybean futures price data.The results show that there is a high correlation between the low frequency trends of soybean futures price data in China and the US,but the correlation between highfrequency details is weak;In terms of transmission direction,there is a two-way relationship between the Sino-US soybean futures market in terms of low frequency trends,but in terms of high frequency details,it only reflects the spillover effect of the US soybean futures market on the Chinese market.

关 键 词：大豆期货价格 粮食安全 小波分析 COPULA模型 

分 类 号：F726[经济管理—产业经济]