大豆产品期货与现货市场价格传导和波动溢出研究

发布时间：2018-08-16 17:16

【摘要】：随着经济总量不断增长,我国居民生活质量逐步提升,膳食结构得到显著改善,我国对大豆产品的需求与日俱增,并且对全球大豆市场具有较强的依赖性。大豆产品价格的剧烈波动直接影响我国油脂加工企业的生产经营,进而将价格风险转嫁给消费者,最终使国民经济遭受巨大损失。企业通过套期保值交易可锁定生产成本,实现预期收益,并利用期货价格信号安排生产经营活动,进而规避因价格剧烈波动带来的市场风险。本文运用误差修正模型和BEKK-GARCH模型对我国大豆产品2007年-2015年期货与现货市场的价格传导和波动溢出进行了实证研究,分析价格的传导方向、传导路径和波动传导的强度,理清期货价格与现货价格在均值和方差层面的传导关系,对缓解大豆产品因价格剧烈波动带来的损失、规避市场潜在风险、完善农产品市场体系建设具有一定的理论和现实意义。本文主要研究内容及结论如下:(一)大豆产品期货与现货价格走势与特征分析。通过对大豆、豆油、豆粕2007年-2015年日度价格汇总整理发现,大豆产品期货与现货价格具有共趋势特征和阶段性特征。价格阶段性特征分为剧烈波动期、波动上升期和波动下行期,并且2008年黄大豆1号和2012年豆粕的成交量和成交额均为九年间最高,较直观的反映了2008年金融危机和2012年美国遭遇严重干旱给大豆产品的价格走势带来的剧烈影响。(二)大豆产品期货与现货市场的价格传导和波动溢出的实证分析。首先,通过建立误差修正模型分析大豆产品2007年-2015年期货与现货价格基于均值的长期均衡关系和短期调整关系,大豆产品期货与现货市场的价格具有传导关系,并且期货价格占主导作用,豆油是大豆产品中短期价格调整速度最快的品种。其次,在传导方向上,期货与现货价格存在双向的传导关系;在传导路径上,运用脉冲响应分析发现随着期数的推移,大豆和豆粕的价格传导路径逐渐发生变化,现货大豆优于期货大豆对市场的影响,期货豆粕优于现货豆粕对市场的影响;在价格传导的影响因素及其贡献份额上,豆油和豆粕的现货价格在初期除受到自身市场影响外,大豆期货与现货价格对其影响也较为显著,说明稳定大豆价格是确保大豆产品市场合理发展的根源性问题。最后,运用BEKK-GARCH模型探讨了期货价格与现货价格的波动传导具有双向性,价格波动主要受到自身市场的前期波动情况影响,豆粕期货价格波动引导豆粕现货价格占主要因素,具有一定的非对称性。(三)大豆产品期货与现货市场价格传导关系的分时段比较分析。根据大豆产品不同的价格走势分别对2007年-2009年、2010年-2012年、2013年-2015年期货与现货价格的传导关系进行动态分析。结果表明,剧烈波动期对整段时期的价格传导影响持久并且强烈。在双向波动溢出的前提下,豆油和豆粕市场在不同价格走势阶段分别由期货价格和现货价格交替主导市场的价格波动,大豆市场多数情况下无明显的价格波动主导市场。本文的创新点主要分为两个方面:第一,现有文献主要研究单一产品期货与现货价格的传导关系,本文突破单一产品考察的局限性,综合考察产业链上下游的关联产品大豆、豆油、豆粕期货与现货市场价格传导方向、传导路径和波动传导强度等问题。第二,通过价格走势特征分析,本文将剧烈波动期、波动上升期和波动下行期分别引入期货与现货价格传导关系的研究,在此基础上,比较分析全样本区间与分时段样本区间的研究结论,考察价格走势对价格传导关系的影响。
[Abstract]:With the continuous growth of economic aggregate, the quality of life of Chinese residents has been gradually improved, and the dietary structure has been significantly improved. The demand for soybean products in China is increasing day by day, and it has a strong dependence on the global soybean market. Enterprises can lock in production costs through hedging transactions, achieve expected returns, and use futures price signals to arrange production and operation activities, thereby avoiding the market risks caused by sharp price fluctuations. This paper uses error correction model and BEKK-GARCH model to China. The price conduction and volatility spillover of soybean products in futures and spot markets from 2007 to 2015 were empirically studied. The conduction direction, conduction path and volatility intensity of the price were analyzed. The conduction relationship between futures and spot prices at the mean and variance levels was clarified, which could alleviate the losses caused by sharp price fluctuations of soybean products. The main contents and conclusions of this paper are as follows: (1) Analysis of the trend and characteristics of soybean futures and spot prices. The price characteristics are divided into violent fluctuation period, fluctuation rising period and fluctuation descending period, and the turnover and turnover of soybean meal in 2008 and 2012 are the highest in nine years, which reflects the 2008 financial crisis and the severe drought in 2012. (2) Empirical analysis of price conduction and volatility spillover between soybean futures and spot markets. Firstly, an error correction model is established to analyze the long-term equilibrium relationship and short-term adjustment relationship between futures and spot prices of soybean products in 2007-2015 based on mean, and soybean products futures and spot markets. Soybean oil is the fastest variety of short-term price adjustment in soybean products. Secondly, there is a bidirectional transmission relationship between futures and spot prices in the direction of transmission. On the transmission path, the impulse response analysis shows that the price of soybean and soybean meal increases with the duration of the period. The transmission path changes gradually, spot soybean is better than futures soybean on the impact of the market, futures soybean meal is better than spot soybean meal on the impact of the market; in the price transmission factors and its contribution share, the spot price of soybean oil and soybean meal in the initial period, in addition to their own market influence, soybean futures and spot prices on its impact is also more obvious. Finally, the BEKK-GARCH model is used to study the two-way transmission between the futures price and spot price. The price fluctuation is mainly affected by the early fluctuation of its own market. The fluctuation of soybean meal futures price leads to the spot price of soybean meal. (3) Time-lapse comparative analysis of the price conduction relationship between soybean futures and spot markets. According to the different price trends of soybean products, the conduction relationship between futures and spot prices in 2007-2009, 2010-2012, 2013-2015 was dynamically analyzed. Under the premise of two-way volatility spillover, soybean oil and soybean meal markets are dominated by futures prices and spot prices respectively in different price movements. In most cases, there is no obvious price volatility in soybean market. It can be divided into two aspects: firstly, the existing literature mainly studies the transmission relationship between single product futures and spot prices. This paper breaks through the limitations of single product inspection, comprehensively examines the related products of the upstream and downstream of the industrial chain, such as soybean, soybean oil, soybean meal futures and spot market price transmission direction, transmission path and volatility transmission intensity. Through the analysis of price trend characteristics, this paper introduces the violent fluctuation period, the rising period and the falling period into the study of the relationship between futures and spot prices respectively. On this basis, it compares and analyzes the research conclusion of the whole sample interval and the time-interval sample interval, and examines the influence of price trend on the price transmission relationship.
【学位授予单位】：华中农业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F713.35;F313.7

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