目标价格改革背景下“保险+期货”模式研究——基于MSVAR模型的棉花价格波动分析
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摘要
在目前国内农产品"保险+期货"试点项目中,期货价格保险一般取保险期内期货平均价作为理赔依据。选取2010年1月～2018年8月的月度数据,从非线性角度出发构建了MSVAR模型对中国棉花期货价格、现货价格和市场情绪三者间的关系进行了实证分析。结果表明:中国棉花期货价格、现货价格和市场情绪3个变量间具有显著的非线性关系;考虑棉花政策变动等带来的影响后,棉花期货价格和市场情绪之间存在双向均值溢出关系,棉花期货价格对现货价格具有单向均值溢出效应;在棉花"保险+期货"模式的保险产品设计中,应充分考虑市场情绪对期货价格的影响,设定相应价格调整因子。根据研究结果,提出了相关对策建议。
At present, in the domestic "insurance + futures" pilot project of agricultural products, the futures price insurance generally takes the average price of futures during the insurance period as the basis for claims. This paper selects the monthly data from January 2010 to August 2018 and constructs the MSVAR model from a nonlinear perspective to empirically analyze the triangle relationship among China's cotton futures prices, spot prices and market sentiment. The results show that there are significant non-linear relationships among the three variables. Considering the impact of cotton policy changes, there is a bilateral mean spillover relationship between cotton futures prices and market sentiment.While cotton futures prices has a unidirectional mean spillover effect on the spot price.In the insurance product design of the cotton "insurance + futures" model, the influence of market sentiment on the futures price should be fully considered, and the corresponding price adjustment factor should be set. According to the research results, relevant countermeasures and suggestions are proposed in this paper.
At present, in the domestic "insurance + futures" pilot project of agricultural products, the futures price insurance generally takes the average price of futures during the insurance period as the basis for claims. This paper selects the monthly data from January 2010 to August 2018 and constructs the MSVAR model from a nonlinear perspective to empirically analyze the triangle relationship among China's cotton futures prices, spot prices and market sentiment. The results show that there are significant non-linear relationships among the three variables. Considering the impact of cotton policy changes, there is a bilateral mean spillover relationship between cotton futures prices and market sentiment.While cotton futures prices has a unidirectional mean spillover effect on the spot price.In the insurance product design of the cotton "insurance + futures" model, the influence of market sentiment on the futures price should be fully considered, and the corresponding price adjustment factor should be set. According to the research results, relevant countermeasures and suggestions are proposed in this paper.
引文
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[8]吴婉茹,陈盛伟.“农产品价格保险+期货”运作机制分析———基于对新湖瑞丰等案例的研究[J].金融教育研究,2017(1):63-69.
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[10]唐金成,曹斯蔚.精准扶贫视角的“保险+期货”模式风险管理研究[J].金融与经济,2017(7):75-81.
[11]蔡胜勋,秦敏花.我国农业保险与农产品期货市场的连接机制研究———以“保险+期货”为例[J].农业现代化研究,2017(3):510-518.
[12]朱俊生,叶明华.“保险+期货”试点效果评估及建议[J].重庆理工大学学报(社会科学),2017(8):1-5.
[13]李亚茹,孙蓉,刘震.农产品期货价格险种设计与定价———基于随机波动率模型的欧亚期权[J].财经科学,2018(3):14-28.
[2]陈雪飞,谢高强,沈淑娟.我国棉花期货价格发现功能研究[J].统计与决策,2013(20):165-167.
[3]何晓燕,张蜀林.我国棉花期货与现货市场的价格发现与波动溢出效应[J].系统工程理论与实践,2013(7):1723-1728.
[4]周畅,鞠荣华,杨智玲,杨汭华.中国棉花期货与现货价格关系的实证研究[J].中国棉花,2017(10):6-11.
[5]钟美瑞,谌杰宇,黄健柏,谌金宇.基于MSVAR模型的有色金属价格波动影响因素的非线性效应研究[J].中国管理科学,2016(4):45-53.
[6]郑晓宏,杨文静.中国玉米现货价格、期货价格与投资者情绪关系研究[J].世界农业,2017(7):125-133.
[7]赵一夫,王宏磊.基于MSVAR的中美大豆现货价格非线性空间传导特征研究[J].农业技术经济,2017(10):25-33.
[8]吴婉茹,陈盛伟.“农产品价格保险+期货”运作机制分析———基于对新湖瑞丰等案例的研究[J].金融教育研究,2017(1):63-69.
[9]赵玉.农产品价格风险管理“保险+期货”模式的实践与实效[J].农业经济,2017(11):134-136.
[10]唐金成,曹斯蔚.精准扶贫视角的“保险+期货”模式风险管理研究[J].金融与经济,2017(7):75-81.
[11]蔡胜勋,秦敏花.我国农业保险与农产品期货市场的连接机制研究———以“保险+期货”为例[J].农业现代化研究,2017(3):510-518.
[12]朱俊生,叶明华.“保险+期货”试点效果评估及建议[J].重庆理工大学学报(社会科学),2017(8):1-5.
[13]李亚茹,孙蓉,刘震.农产品期货价格险种设计与定价———基于随机波动率模型的欧亚期权[J].财经科学,2018(3):14-28.