苹果市场价格波动的杠杆效应与风险外溢  

The Leverage Effect and Risk Spillover of Apple Market Price Fluctuations

作　　者：戈岐明 江永洪[1,2] 展海燕 GE Qiming;JIANG Yonghong;ZHAN Haiyan(School of International Economics,Shaanxi Institute of International Trade and Commerce,Xi'an 712046;School of Economics and Management,Xi'an Jiaotong University,Xi'an 710049;School of Marxism,Shaanxi Institute of International Trade and Commerce,Xi'an 712046,China)

机构地区：[1]陕西国际商贸学院国际经济学院,西安712046 [2]西安交通大学经济与金融学院,西安710049 [3]陕西国际商贸学院马克思主义学院,西安712046

出　　处：《东北农业科学》2025年第1期49-56,共8页Journal of Northeast Agricultural Sciences

基　　金：陕西省教育厅健康文化研究中心重点科研计划项目(21JZ016);校级科技创新团队项目(2022KYTD03、2023KYTD01);西安市科技创新智库“健康产业与数字乡村振兴研究中心(2024)”项目(202408)。

摘　　要：基于2017年12月25日-2023年11月30日的数据,应用GARCH族模型考察苹果期现货价格波动的杠杆效应和风险溢出效应。实证结果表明:(1)苹果产地价格波动幅度高于批发价格,苹果期现货市场都存在明显的波动集聚性;(2)苹果现货价格和期货收盘价存在显著的GARCH-M效应,收益与风险有正向关系,苹果现货市场的风险溢价高于苹果期货市场,表明现货市场的参与人更加厌恶风险;(3)苹果批发价格和期货价格波动对于负向冲击的反应大于正向冲击,苹果产区价格波动对于负向冲击的反应小于正向冲击;(4)苹果期货指数和产区苹果价格之间存在溢出效应,且是不对称的、单向的,即苹果期货指数波动导致产区苹果价格波动。根据研究结论,提出了三个方面的建议。According to the data from December 25th,2017 to November 30th,2023,the leverage effect and risk spillover effect of price fluctuations of futures and spot goods of apples were examined with the GARCH family model.The empirical findings showed that:(1) the amplitude of price fluctuation in the place of origin of apples was bigger than that of the wholesale price and the futures and spot goods markets of apples had obvious fluctuation clustering.(2) spot goods prices and closing prices of futures of apples had significant GARCH-M effect,income and risk were positively correlated,and the risk premium of the spot goods market of apples was higher that of the futures market,indicating risk aversion of participants in the spot goods market.(3) the response of wholesale price and futures price fluctuation of apples to negative impact was bigger than that to positive impact.(4) there was a spillover effect between the futures index of apples and the price of apples in the producing area,which was asymmetric and unidirectional,which meant that fluctuation of the futures index of apples caused the fluctuation of the price of apples in the producing area.According to the research conclusions,suggestions were given in three aspects.

关 键 词：苹果现货 苹果期货 杠杆效应 风险溢出 GARCH族模型 

分 类 号：F326[经济管理—产业经济]