基于变结构的Copula函数中美大豆期货波动溢出效应变动研究
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摘要
近年来,我国大豆需求量逐年上升,而国产大豆产量却逐渐下降,进口量迅速上升。自美国政府对我国发起贸易战以来,大豆期货价格大幅变动。因此,研究中国大豆期货价格的形成机制尤为重要。本文通过建立变结构的正态Copula-GARCH(1,1)-t模型检验DCE(大连商品交易所)和CBOT(芝加哥商品交易所)两个市场之间的波动溢出效应,并利用Bayes时序诊断和Z检验方法诊断变结构点。结果发现:CBOT大豆期货的波动性高于DCE大豆期货,DCE与CBOT大豆期货市场之间存在波动溢出效应,DCE与CBOT大豆期货时变相关系数序列有3个变结构点最为显著。据此,对DCE与CBOT大豆期货的波动溢出效应的变化原因进行了分析。
In recent years, the demand of China′s soybean has been increasing while the production of domestic soybean gradually declining, and imports have been rising rapidly. Since the US government initiated a trade war against China, the prices of soybean futures have changed significantly. Thus, it is especially important to study price formation and mechanism of China′s soybean futures. Therefore, this paper tested the volatility spillover effects between CBOT and DCE markets by establishing a normalized variable structure Copula-GARCH(1,1)-t model, uses Bayesian Time Series Diagnosis and Z test to observe the variable structure points. The results showed that the volatility of DCE soybean futures was lower than CBOT soybean futures, and there existed volatility spillover effect between CBOT soybean futures market and DCE soybean futures market. And there were three significant variable structure points. The paper analyzes the reasons of the correlation changes between CBOT and DCE soybean futures.
In recent years, the demand of China′s soybean has been increasing while the production of domestic soybean gradually declining, and imports have been rising rapidly. Since the US government initiated a trade war against China, the prices of soybean futures have changed significantly. Thus, it is especially important to study price formation and mechanism of China′s soybean futures. Therefore, this paper tested the volatility spillover effects between CBOT and DCE markets by establishing a normalized variable structure Copula-GARCH(1,1)-t model, uses Bayesian Time Series Diagnosis and Z test to observe the variable structure points. The results showed that the volatility of DCE soybean futures was lower than CBOT soybean futures, and there existed volatility spillover effect between CBOT soybean futures market and DCE soybean futures market. And there were three significant variable structure points. The paper analyzes the reasons of the correlation changes between CBOT and DCE soybean futures.
引文
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[16] 刘凯,穆月英.中美大豆期货市场价波动及联动性分析[J].中国农学通报,2017,33(33):159-164.(Liu K,Mu Y Y.Price fluctuation and linkage of soybean futures markets in China and the United States[J].Chinese Agricultural Science Bulletin,2017,33(33):159-164.)
[17] 郑金英,翁欣.中美粮食期货的价格关联及波动溢出效应——基于多元T分布下VAR-BEKK-MGARCH模型的实证分析[J].价格理论与实践,2017(3):128-131.(Zheng J Y,Weng X.Information flows between the U.S.and China′s food futures markets[J].China Academic Journal Electronic,2017(3):128-131.)
[18] 陈晓雷,李自胜,武鑫,等.基于Copula函数的中美大豆期货波动溢出效应研究[J].科技通报,2015,31(3):1-5,33.(Chen X L,Li Z S,Wu X,et al.Research on volatility spillover effect between Chinese and American soybean future markets based on Copula models[J].Bulletin of Science and Technology,2015,31(3):1-5,33.)
[19] 王宏磊,赵一夫.中美大豆期货市场价格关系研究——基于结构突变视角[J].中国农业大学学报,2016,21(9):156-165.(Wang H L,Zhao Y F.An analysis on price relationship between China and US soybean futures markets:Based on structural breaks viewpoint[J].Journal of China Agricultural University,2016,21(9):156-165.)
[20] Hong Y.Dynamic models of the term structure[J].Financial Analysts Journal,2001,57(4):60-74.
[21] Sklar M.Fonctions de répartition′an dimensions et leurs marges[J].Publications de l’Institut de Statistique de l′Universitéde Paris,1959(8):229-231.
[22] Nelsen R B.An introduction to copulas[M].New York:Springer-Verlag,1999.
[23] Nelsen R B.An introduction to copulas[M].New York:Springer,2006.
[24] Frank M J.On the simultaneous associativity of F(x,y) and x+y-F(x,y)[J].Aequationes Mathematicae,1978,18(1-2):266-267.
[25] Gumbel E J.Bivariate exponential distributions[J].Journal of the American Statistical Association,1960,55:698-707.
[26] Clayton D G.A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence[J].Biometrika,1978,65:141-151.
[2] Nikolaos S.Daily price and volatility behaviour in soybean oil market[J].International Journal of Society Systems Science,2011,3(1-2):174-184.
[3] 叶苏,于冷.主成分分析法分析中国大豆期货价格波动因素[J].哈尔滨商业大学学报(自然科学版),2012,28(1):110-114.(Ye S,Yu L.Analysis of price fluctuation factors for soybean futures in China’s market based on principal component analysis method.[J].Journal of Harbin University of Commerce(Natural Sciences Edition),2012,28(1):110-114.)
[4] 王秀东,刘斌,闫琰.基于ARCH模型的我国大豆期货价格波动分析[J].农业技术经济,2013(12):73-79.(Wang X D,Liu B,Yan Y.Analysis of China′s soybean futures price fluctuation based on ARCH model.[J].Journal of Agrotechnical Economics,2013(12):73-79.)
[5] Hu M,Yao H.Is the price volatility of agricultural futures related to the weather effects?examples from wheat,soybean and cotton futures[J].International Conference on Business Computing,2013:55-58.
[6] 田清淞,肖小勇,李崇光.经济政策不确定性对我国粮食期货价格波动的影响研究[J].中国农业大学学报,2018,23(2):204-212.(Tian Q S,Xiao X Y,Li C G.Influence of economic policy uncertainty on the price fluctuation of China′s grain futures [J].Journal of China Agricultural University,2018,23(2):204-212.)
[7] 王向明.我国大豆期货市场价格发现功能实证研究[J].中国外资,2011(4):21-22,24.(Wang X M.Empirical study on the price discovery function of China′s soybean futures market.[J]Foreign investment in China,2011(4):21-22,24.)
[8] Xiang Y,Sun Q,Sun Y,et al.An empirical analysis of the price discovery function of Dalian soybean futures market[C].Proceedings of the 2015 3D international conference on advanced information and communication technology for education.2015:308-312.
[9] 王时芬,汪喆.我国大豆期货价格与现货价格双向引导机制的研究[J].价格理论与实践,2016(1):136-139.(Wang S F,Wang Z.The study of the bi-directional guidance mechanism between soybean futures price and spot price in China[J].Price Theory and Practice,2016(1):136-139.)
[10] Thomas D,Michael F,Robert J.Price discovery in agricultural commodity markets in the presence of futures speculation[J].Journal of Commodity Markets,2017(5):50-62.
[11] 石泽楠,董玲.大豆市场情绪、期货现货价格的相关性研究[J].大豆科学,2018,37(1):131-135.(Shi Z N,Dong L.A study on the correlation between soybean market sentiment,spot price and futures price[J].Soybean Science,2018,37(1):131-135.)
[12] Liu Q F,An Y B.Information transmission in informationally linked markets:Evidence from US and Chinese commodity futures markets[J].Journal of International Money and Finance,2011,30(5):778-795.
[13] 李显戈,周应恒,随学超.中美大豆期货价格相关性研究——基于Copula函数[J].农业技术经济,2013(6):4-11.(Li X G,Zhou Y H,Sui X C.Correlation study on Sino-US soybean futures price——based on copula function[J].Journal of Agrotechnical Economics,2013(6):4-11.)
[14] 王振宇.中美农产品价格波动特征及溢出效应研究——基于大豆期货数据的分析[J].农村经济,2014(5):98-101.(Wang Z Y,Research on the volatility characteristics and spillover effects of agricultural products in China and the United States——Based on the analysis of soybean futures[J].Rural Economy,2014(5):98-101.)
[15] Liu B J,Wang Y B,Wang J J,et al.Is China the price taker in soybean futures?[J].China Agricultural Economic Review,2015,7(3):389-404.
[16] 刘凯,穆月英.中美大豆期货市场价波动及联动性分析[J].中国农学通报,2017,33(33):159-164.(Liu K,Mu Y Y.Price fluctuation and linkage of soybean futures markets in China and the United States[J].Chinese Agricultural Science Bulletin,2017,33(33):159-164.)
[17] 郑金英,翁欣.中美粮食期货的价格关联及波动溢出效应——基于多元T分布下VAR-BEKK-MGARCH模型的实证分析[J].价格理论与实践,2017(3):128-131.(Zheng J Y,Weng X.Information flows between the U.S.and China′s food futures markets[J].China Academic Journal Electronic,2017(3):128-131.)
[18] 陈晓雷,李自胜,武鑫,等.基于Copula函数的中美大豆期货波动溢出效应研究[J].科技通报,2015,31(3):1-5,33.(Chen X L,Li Z S,Wu X,et al.Research on volatility spillover effect between Chinese and American soybean future markets based on Copula models[J].Bulletin of Science and Technology,2015,31(3):1-5,33.)
[19] 王宏磊,赵一夫.中美大豆期货市场价格关系研究——基于结构突变视角[J].中国农业大学学报,2016,21(9):156-165.(Wang H L,Zhao Y F.An analysis on price relationship between China and US soybean futures markets:Based on structural breaks viewpoint[J].Journal of China Agricultural University,2016,21(9):156-165.)
[20] Hong Y.Dynamic models of the term structure[J].Financial Analysts Journal,2001,57(4):60-74.
[21] Sklar M.Fonctions de répartition′an dimensions et leurs marges[J].Publications de l’Institut de Statistique de l′Universitéde Paris,1959(8):229-231.
[22] Nelsen R B.An introduction to copulas[M].New York:Springer-Verlag,1999.
[23] Nelsen R B.An introduction to copulas[M].New York:Springer,2006.
[24] Frank M J.On the simultaneous associativity of F(x,y) and x+y-F(x,y)[J].Aequationes Mathematicae,1978,18(1-2):266-267.
[25] Gumbel E J.Bivariate exponential distributions[J].Journal of the American Statistical Association,1960,55:698-707.
[26] Clayton D G.A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence[J].Biometrika,1978,65:141-151.