棉花价格波动溢出效应
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- 英文论文题名：Volatility Spillover Effects of Cotton Prices
- 论文作者：林学贵
- 英文论文作者：LIN Xue-gui ; Chinese academy of international trade and economic cooperation
- 年：2016
- 作者机构：商务部国际贸易经济合作研究院;
- 论文关键词：价格波动 ; 波动溢出 ; 多元GARCH模型 ; 价格风险
- 英文论文关键词：cotton price ; volatility spillover ; multivariate GARCH model ; price risk
- 会议召开时间：2016-11-12
- 会议录名称：第十八届中国管理科学学术年会论文集
- 英文会议录名称：Proceedings of the 18th Chinese Annual Conference on Management Science
- 语种：中文
- 分类号：F313.7;F713.35
- 学会代码：ZHYJ
- 会议名称：第十八届中国管理科学学术年会
- 会议地点：中国陕西西安
- 主办单位：中国优选法统筹法与经济数学研究会、西安交通大学、中国科学院科技战略咨询研究院、《中国管理科学》编辑部
- 学会名称：中国优选法统筹法与经济数学研究会
- 页数：5
- 文件大小：349k
- 原文格式：O
- 会议级别：全国
摘要
本文将棉花的国内现货市场、国内期货市场、国际期货市场纳入同一分析框架,构建三元VAR-BEKKGARCH模型,在对模型估计结果有效性检验基础上对棉花价格波动溢出效应进行了分析。结果表明:国内期货市场对现货市场存在单向价格波动溢出效应,国内现货市场与国际期货市场之间以及国内期货市场与国际期货市场之间均存在双向价格波动溢出效应。本研究的结论说明国内外棉花市场存在影响棉花价格波动的共同信息,这对于政府设计棉花市场调控政策以及棉花市场参与者正确预测棉花价格波动率、计算跨市套期保值率、设计最优资产组合具有重要意义。
Based on the test on the suitability of model estimation results,this paper examines the volatility spillover effects of cotton prices among Chinese domestic cash,futures and international markets by using a trivariate VAR-BEKK-GARCH model.The estimate results indicate that volatility spillover effects exist between Chinese domestic cash and international futures markets and between Chinese and international futures markets.Volatility spillover is also found from domestic futures to cash market,but not the opposite.The findings show the presence of some common information affecting price volatilities in these markets.The Understanding of the characteristic of volatility spillovers among markets has important implications for cotton market participants to forecast volatility,calculate hedging ratio among markets,and design optimal portfolio.The findings also provide useful reference for policy makers to have a better monitoring of market situations.
Based on the test on the suitability of model estimation results,this paper examines the volatility spillover effects of cotton prices among Chinese domestic cash,futures and international markets by using a trivariate VAR-BEKK-GARCH model.The estimate results indicate that volatility spillover effects exist between Chinese domestic cash and international futures markets and between Chinese and international futures markets.Volatility spillover is also found from domestic futures to cash market,but not the opposite.The findings show the presence of some common information affecting price volatilities in these markets.The Understanding of the characteristic of volatility spillovers among markets has important implications for cotton market participants to forecast volatility,calculate hedging ratio among markets,and design optimal portfolio.The findings also provide useful reference for policy makers to have a better monitoring of market situations.
引文
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[12]苏念思,李哲敏,汪武静等.我国棉花期货价格波动特征研究——基于HP滤波和ARCH类模型的分析[J]价格理论与实践,2014,(9):81-83.
[13]袁方,瞿慧.引入宏观经济指标的棉花期货已实现波动率建模研究[J].中国管理科学,2013,(S1):315-320.
[14]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.
[15]Engle R F,Kroner K F.Multivariate simultaneous generalized ARCH[J].Econometric Theory,1995,11(1)t122-150.
[16]Engle R F.Autoregressive conditional heterodasticity with estimate of variance of United Kingdom inflation[J].Econometrica,1982,50(4):987-1007.
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[2]张杰,王力,赵新民.我国棉花产业的困境与出路[J].农业经济问题,2014,(9):28-34.
[3]Buguk C,Hudson D,Hanson D,et al.Price volatility in agricultural markets:An examination of U.S.catfish markets[J].Journal of Agricultural and Resource Economics,2003,28(1),86-99.
[4]Khan M A.Helmers G A.Causality,input price variability and structural changes in the U.S.livestockmeat industry[J].Western Journal of Agricultural Economics,1997,22(2):392-392.
[5]Rezitis A N,Stavropoulos K S.Greek meat supply response and price volatility in a rational expectations frameworks multivariate GARCH approach[J].European Review of Agricultural Economics,2012,39:(2),309-333.
[6]刘庆富,王海民.期货市场与现货市场之间的价格研究—中国农产品市场的经验[J].财经问题研究,2006,(4):44-53.
[7]熊正德,文慧,凌语蓉.基于时频分析的农产品期货市场与外汇市场联动关系研究[J].中国管理科学,2013,(S1):255-263.
[8]Brorsen B W.Bailey V D.Richardson J W.Investigation of price discovery and efficiency for cash and futures cotton prices[J].Western Journal of Agricultural Economics,1984,9(1):170-176.
[9]Hudson D,Elam E,Ethridge D,et al.Price information in producer markets:An evaluation of futures and spot cotton price relationships in the Southwest region using cointegration[J].Agribusiness,1996,12(4):363-369.
[10]赵荣,乔娟,杨雪.中美棉花期货市场功能比较分析[J].价格月刊,2008,(4):67-70.
[11]王芳,王钰棋,孙建明.国内外棉花价格波动关联的实证分析[J].经济研究导刊,2012,(31):168-169.
[12]苏念思,李哲敏,汪武静等.我国棉花期货价格波动特征研究——基于HP滤波和ARCH类模型的分析[J]价格理论与实践,2014,(9):81-83.
[13]袁方,瞿慧.引入宏观经济指标的棉花期货已实现波动率建模研究[J].中国管理科学,2013,(S1):315-320.
[14]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.
[15]Engle R F,Kroner K F.Multivariate simultaneous generalized ARCH[J].Econometric Theory,1995,11(1)t122-150.
[16]Engle R F.Autoregressive conditional heterodasticity with estimate of variance of United Kingdom inflation[J].Econometrica,1982,50(4):987-1007.
[17]Bollerslev T,Wooldridge J M.Quasi maximum likelihood estimation and inference in dynamic models with time varying covariances[J].Econometric Reviews,1992,11(2):143-172.