全球贸易视角下的中国大豆期货市场空间影响效应研究——基于空间杜宾模型和空间偏微分方程  

Study on the Spatial Effect of China’s Soybean Futures Market from the Perspective of Global Trade——Based on Spatial Durbin Model and Spatial Partial Differential Equations

作　　者：邹珂 柯蓉 ZOU Ke;KE Rong

机构地区：[1]上海对外经贸大学统计与信息学院

出　　处：《金融发展》2024年第2期95-114,共20页Financial Development

基　　金：国家自然科学基金面上项目“多时空尺度下区域经济边界效应测度模型、变化机理与影响机制研究”(71874106);国家社科基金后期资助项目“非平稳时空数据模型的变点检测及小波估计”(23FTJB001)

摘　　要：随着全球化的深入,全球贸易流动不仅关乎各国的粮食安全与农业发展,同时也直接影响着期货市场的波动性和价格稳定性。本文结合比较优势理论和结构性权力学说构建了期货定价指标体系。选取了2000年至2023年间大连商品交易所黄大豆1号期货收盘价作为主要数据,基于莫兰指数从全局和局域两个角度对空间自相关性进行了检验,分别将大豆进口量和大豆出口量作为调节变量。基于空间杜宾模型分析了中国大豆期货市场的空间影响效应,进而基于空间偏微分方程分析了直接效应、间接效应和总效应。研究发现,中国大豆期货市场存在显著的空间自相关性。在考虑调节效应的情况下,美元指数对中国大豆期货市场的影响效应最为显著。进一步地,当引入大豆进口量作为调节变量时,所有金融结构变量和安全结构变量的影响效应均有所减弱。而当以大豆出口量为调节变量时,总体情况与以大豆进口量为调节变量相似,但值得注意的是,除了美元指数的影响力略有下降外,其他影响因素的作用力则有所增强。这些结果表明,在全球贸易背景下,中国大豆期货市场受到多种因素的影响,其中美元指数的作用尤为突出。With the deepening of globalization,the global trade flow is not only related to the food security and agricultural development of various countries,but also directly affects the volatility and price stability of the futures market.This paper combines the theory of comparative advantage and the theory of structural power to construct the futures pricing index system.The closing price of soybean No.1 futures on Dalian Commodity Exchange from 2000 to 2023 was selected as the main data,and the spatial autocorrelation was tested from the global and local perspectives based on the Moreland index.The soybean import volume and soybean export volume were used as the regulating variables respectively.The spatial effect of soybean futures market in China is analyzed based on the spatial Durbin model,and then the direct effect,indirect effect and total effect are analyzed based on the spatial partial differential equation.The results show that:(1)There is a significant spatial autocorrelation in China’s soybean futures market from the perspective of global trade;(2)When no adjustment effect is added,the US dollar index has the greatest effect on China’s soybean futures market;(3)The effects of all financial structure variables and safety structure variables decreased to a certain extent when the import volume of soybean was added as the adjustment effect;(4)With the addition of soybean export volume as the moderating effect,the overall situation is similar to that with the addition of soybean import volume as the moderating variable,but the influence of the US dollar index decreases slightly,and other influencing factors increase.

关 键 词：期货定价指标体系 莫兰指数 空间杜宾模型 空间偏微分方程 

分 类 号：F724.5[经济管理—产业经济]