国际与国内棉花价格的非线性空间传导研究
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摘要
随着国内棉花市场开放程度增加,国内外棉花价格联动性增强,明晰国内外棉花价格传递机制尤为重要。采用2007年4月6日至2018年7月6日的周数据,运用MSIH(3)-VAR(P)模型和脉冲响应分析中国棉花期现货市场、国际期货市场之间的相互影响以及非线性空间传导关系。实证结果表明,国际棉花期货市场、中国棉花期现货市场价格波动存在三区制的非线性传导效应,需要重视棉花补贴政策对市场分区带来的影响。中国棉花期现货市场对国际棉花市场波动的响应相对较弱,存在削弱影响的因素,而且受国际棉花期货市场价格的引导;中国棉花期货市场对现货市场的价格有更强的响应,现货市场价格识别期货价格信息能力相对较弱,但趋向于引领期货市场的价格,中国棉花的期货市场仍有待进一步的开发与完善。这些研究结论与构建的非线性分析棉花价格波动模型,可以为政策制定者和棉花产业相关利益群体提供决策参考。
With the increasing opening-up of the domestic cotton market, the cotton price linkage between domestic market and international market has increased. It is particularly important to clarify the mechanism of cotton price transmission between domestic market and international market. Based on the weekly data from April 6, 2007 to July6, 2018, this paper applied the MSIH(3)-VAR(P) model and impulse response to analyze the interaction and nonlinear spatial transmission in China's futures market, China's spot market and international futures market. Empirical results show that: 1) the fluctuation of international cotton futures and China's cotton futures and China's spot market price display some three-regime nonlinear transmission features; 2) China's cotton spot market responds relatively weakly to international cotton market under the influences of some weakening factors and is guided by international futures price; and 3) China's cotton futures market has a stronger response to China's spot market price changes and China's spot market has a relatively weaker ability to identify futures prices, but it tends to lead cotton futures price. In addition,China's cotton futures market still needs further development and improvement. These findings and the nonlinear model for analyzing cotton price volatility provide some reference for the policy makers and those relevant stakeholders in the cotton industry.
With the increasing opening-up of the domestic cotton market, the cotton price linkage between domestic market and international market has increased. It is particularly important to clarify the mechanism of cotton price transmission between domestic market and international market. Based on the weekly data from April 6, 2007 to July6, 2018, this paper applied the MSIH(3)-VAR(P) model and impulse response to analyze the interaction and nonlinear spatial transmission in China's futures market, China's spot market and international futures market. Empirical results show that: 1) the fluctuation of international cotton futures and China's cotton futures and China's spot market price display some three-regime nonlinear transmission features; 2) China's cotton spot market responds relatively weakly to international cotton market under the influences of some weakening factors and is guided by international futures price; and 3) China's cotton futures market has a stronger response to China's spot market price changes and China's spot market has a relatively weaker ability to identify futures prices, but it tends to lead cotton futures price. In addition,China's cotton futures market still needs further development and improvement. These findings and the nonlinear model for analyzing cotton price volatility provide some reference for the policy makers and those relevant stakeholders in the cotton industry.
引文
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[6]张立杰,寇纪淞,李敏强,等.棉花流通体制改革后国际贸易对国内棉花价格影响分析[J].农业技术经济,2012(7):32-38.Zhang L J,Kou J S,Li M Q,et al.Analysis of the impact of international trade on domestic cotton prices after the reform of cotton circulation system[J].Journal of Agrotechnical Economics,2012(7):32-38.
[7]谭砚文,关建波.宏观经济因素、消费需求、市场信息与棉花市场价格波动[J].农业技术经济,2013(8):12-22.Tan Y W,Guan J B.Macroeconomic factors,consumer demand,market information and cotton market price fluctuations[J].Journal of Agrotechnical Economics,2013(8):12-22.
[8]林学贵.棉花价格波动溢出效应[J].中国管理科学,2016,24(S1):504-508.Lin X G.Volatility spillover effects of cotton prices[J].Chinese Journal of Management Science,2016,24(S1):504-508.
[9]Griffith G R,Piggott N E.Asymmetry in beef,lamb and pork farm-retail price transmission in Australia[J].Agricultural Economics,1994,10(3):307-316
[10]Cramon-Taubadel S V,Loy J P.The identification of asymmetric price transmission processes with integrated time series[J].Jahrbücher Für National?konomie Und Statistik,1999,218(1):85-106.
[11]张屹山,方毅,黄琨.中国期货市场功能及国际影响的实证研究[J].管理世界,2006(4):28-34.Zhang Y S,Fang Y,Huang K.An empirical study of the function and international influence of China’s futures market[J].Management World,2006(4):28-34.
[12]邵燕.股指期货:金融衍生品市场的避险工具[J].南通大学学报(社会科学版),2008,24(1):136-140.Shao Y.Stock index futures-A device of risk aversion in the market of financial derivatives[J].Journal of Nantong University(Social Science),2008,24(1):136-140.
[13]王川.基于风险溢价理论的我国粮食期货市场有效性研究[J].农业技术经济,2010(11):89-95.Wang C.Research on the effectiveness of China’s grain futures market based on the risk premium theory[J].Journal of Agrotechnical Economics,2010(11):89-95.
[14]张有望,李剑.粮食期货与现货市场价格波动溢出效应[J].华南农业大学学报(社会科学版),2017,16(1):104-111.Zhang Y W,Li J.Price volatility spillovers effect between futures and spot grain market in China[J].Journal of South China Agricultural University(Social Science),2017,16(1):104-111.
[15]刘志雄.我国棉花国内支持政策对世界棉花市场影响研究[J].农业经济问题,2014,35(8):33-39.Liu Z X.Impacts of China’s cotton subsidies and price supports on world cotton market[J].Issues in Agricultural Economy,2014,35(8):33-39.
[16]许祥云,何恋恋,高灵利.农产品政策如何影响国际市场对国内期货市场的价格传递效应--以棉花和豆类产品的收储及补贴政策为例[J].世界经济研究,2016(6):55-68,135.Xu X Y,He L L,Gao L L.How agricultural policy affects the price pass-through effect of international markets to domestic futures market:Take cotton and soybean products for example[J].World Economy Studies,2016(6):55-68,135.
[17]Sims C A,Stock J H,Watson M W.Inference in linear time series models with some unit roots[J].Econometrica,1990,58(1):113-144.
[18]Quandt R E.The estimation of parameters of a linear regression system obeying two separate regimes[J].Journal of the Royal Statistic Association,1958,53(284):873-880.
[19]Hamilton J D.A new approach to the economic analysis of nonstationary time series and the business cycle[J].Econometrica,1989,57(2):357-384.
[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,2013,392(20):165-167.Chen X F,Xie G Q,Shen S J.Research on the discovery function of cotton futures price in China[J].Statistics and Decision,2013,392(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,2013,33(7):1723-1728.He X Y,Zhang S L.Price discovery and volatility spillovers between futures and spot cotton market in China[J].Systems Engineering-Theory&Practice,2013,33(7):1723-1728.
[4]方燕,李欣欣.我国棉花期货与现货市场价格传导机制研究[J].价格理论与实践,2013,349(7):83-84.Fang Y,Li X X.Research on price transmission mechanism of cotton futures and spot market in China[J].Price Theory and Practice,2013,349(7):83-84.
[5]刘晓雪,黄剑.中美棉花期货价格引导和均衡关系的实证分析[J].北京工商大学学报(社会科学版),2008,23(4):11-15.Liu X X,Huang J.An empirical analysis of the price guidance and equilibrium relationship between China and the US cotton futures[J].Journal of Beijing Technology and Business University(Social Science),2008,23(4):11-15.
[6]张立杰,寇纪淞,李敏强,等.棉花流通体制改革后国际贸易对国内棉花价格影响分析[J].农业技术经济,2012(7):32-38.Zhang L J,Kou J S,Li M Q,et al.Analysis of the impact of international trade on domestic cotton prices after the reform of cotton circulation system[J].Journal of Agrotechnical Economics,2012(7):32-38.
[7]谭砚文,关建波.宏观经济因素、消费需求、市场信息与棉花市场价格波动[J].农业技术经济,2013(8):12-22.Tan Y W,Guan J B.Macroeconomic factors,consumer demand,market information and cotton market price fluctuations[J].Journal of Agrotechnical Economics,2013(8):12-22.
[8]林学贵.棉花价格波动溢出效应[J].中国管理科学,2016,24(S1):504-508.Lin X G.Volatility spillover effects of cotton prices[J].Chinese Journal of Management Science,2016,24(S1):504-508.
[9]Griffith G R,Piggott N E.Asymmetry in beef,lamb and pork farm-retail price transmission in Australia[J].Agricultural Economics,1994,10(3):307-316
[10]Cramon-Taubadel S V,Loy J P.The identification of asymmetric price transmission processes with integrated time series[J].Jahrbücher Für National?konomie Und Statistik,1999,218(1):85-106.
[11]张屹山,方毅,黄琨.中国期货市场功能及国际影响的实证研究[J].管理世界,2006(4):28-34.Zhang Y S,Fang Y,Huang K.An empirical study of the function and international influence of China’s futures market[J].Management World,2006(4):28-34.
[12]邵燕.股指期货:金融衍生品市场的避险工具[J].南通大学学报(社会科学版),2008,24(1):136-140.Shao Y.Stock index futures-A device of risk aversion in the market of financial derivatives[J].Journal of Nantong University(Social Science),2008,24(1):136-140.
[13]王川.基于风险溢价理论的我国粮食期货市场有效性研究[J].农业技术经济,2010(11):89-95.Wang C.Research on the effectiveness of China’s grain futures market based on the risk premium theory[J].Journal of Agrotechnical Economics,2010(11):89-95.
[14]张有望,李剑.粮食期货与现货市场价格波动溢出效应[J].华南农业大学学报(社会科学版),2017,16(1):104-111.Zhang Y W,Li J.Price volatility spillovers effect between futures and spot grain market in China[J].Journal of South China Agricultural University(Social Science),2017,16(1):104-111.
[15]刘志雄.我国棉花国内支持政策对世界棉花市场影响研究[J].农业经济问题,2014,35(8):33-39.Liu Z X.Impacts of China’s cotton subsidies and price supports on world cotton market[J].Issues in Agricultural Economy,2014,35(8):33-39.
[16]许祥云,何恋恋,高灵利.农产品政策如何影响国际市场对国内期货市场的价格传递效应--以棉花和豆类产品的收储及补贴政策为例[J].世界经济研究,2016(6):55-68,135.Xu X Y,He L L,Gao L L.How agricultural policy affects the price pass-through effect of international markets to domestic futures market:Take cotton and soybean products for example[J].World Economy Studies,2016(6):55-68,135.
[17]Sims C A,Stock J H,Watson M W.Inference in linear time series models with some unit roots[J].Econometrica,1990,58(1):113-144.
[18]Quandt R E.The estimation of parameters of a linear regression system obeying two separate regimes[J].Journal of the Royal Statistic Association,1958,53(284):873-880.
[19]Hamilton J D.A new approach to the economic analysis of nonstationary time series and the business cycle[J].Econometrica,1989,57(2):357-384.