我国玉米期货市场价格发现功能及最优套期保值比率研究

发布时间：2018-04-29 23:25

本文选题：玉米期货市场 + 价格发现功能　；参考：《贵州财经大学》2017年硕士论文

【摘要】：作为农产品期货市场的重要组成部分,玉米期货市场在规避风险,实现套期保值方面做出了一定的贡献。我国是粮食生产大国和进出口大国,农产品价格的稳定性直接关系到我国经济发展的走势,每年国家都出台农产品价格支持政策,这在稳定农产品价格的同时,也给政府造成了巨大的财政负担,所以我国正逐步放开农业支持政策,让农产品期货市场发挥市场的调节功能,这不但给政府减轻了负担,又能够使玉米价格真实地反应玉米现货市场的供求关系,还能够增加玉米期货市场的活力。本文的研究目的就是为了研究现阶段我国玉米期货市场的价格发现功能发挥的程度,并分析玉米现货市场与期货市场之间的价格波动溢出效应,对期货市场价格发现功能进一步确认,最后用最优套期保值比率来衡量玉米期货市场规避风险和价格发现的总体效果。本文首先,从玉米期货市场的价格发现功能出发,深入分析我国玉米期货市场的价格发现功能,通过引入空间状态模型,运用卡尔曼滤波法,估计玉米期货市场的动态贡献率,并对不同时期的动态贡献率作出解释;其次,进一步分析玉米期货市场与现货市场之间的价格传导过程,即波动溢出效应,运用脉冲响应函数和EGARCH模型估计了波动溢出效应的方向与大小;最后,在第三章和第四章研究的基础之上,对玉米期货市场的最优套期保值比率进行估计,分别运用了静态模型和动态的GARCH模型,发现GARCH模型的拟合效果较好。在文章得出的主要结论为:玉米期货市场的具备一定的价格发现功能,且在价格发现功能中处于主导地位;玉米期货市场存在着从玉米期货市场到现货市场的单向波动溢出效应;GARCH模型估计的最优套期保值比率效果最好,但玉米期货市场的套期保值功能能够降低玉米现货市场风险的比率还不是很高,这说明我国玉米期货市场的套期保值功能还有很大的发挥空间。本文最后在玉米期货市场价格发现功能和最优套期保值功能研究的基础上提出了合理化建议。
[Abstract]:As an important part of agricultural futures market, corn futures market has made a certain contribution in avoiding risks and realizing hedging. China is a large grain producing country and a big import and export country. The stability of agricultural product prices is directly related to the trend of our country's economic development. Every year, the state issues agricultural product price support policy, which at the same time stabilizes the agricultural product price. It has also caused a huge financial burden to the government. Therefore, our country is gradually liberalizing agricultural support policies and allowing the futures market of agricultural products to play a regulatory role in the market. This not only lightens the burden on the government, The price of corn can reflect the supply and demand of spot market and increase the vigor of corn futures market. The purpose of this paper is to study the extent of price discovery function of corn futures market in China at present, and to analyze the spillover effect of price fluctuation between spot market and futures market. The function of price discovery in futures market is further confirmed. Finally, the optimal hedge ratio is used to measure the overall effect of risk avoidance and price discovery in corn futures market. First of all, from the price discovery function of corn futures market, this paper deeply analyzes the price discovery function of corn futures market in China, and estimates the dynamic contribution rate of corn futures market by introducing spatial state model and using Kalman filter method. The dynamic contribution rate in different periods is explained. Secondly, the price conduction process between the corn futures market and the spot market is further analyzed, that is, volatility spillover effect. The direction and magnitude of volatility spillover effect are estimated by using impulse response function and EGARCH model. Finally, the optimal hedge ratio of corn futures market is estimated on the basis of the third and fourth chapters. The static model and the dynamic GARCH model are used, and it is found that the fitting effect of the GARCH model is better. The main conclusions in this paper are as follows: the corn futures market has a certain price discovery function and plays a leading role in the price discovery function; There is a one-way volatility spillover effect from corn futures market to spot market in maize futures market. GARCH model has the best effect in estimating the optimal hedge ratio. However, the hedge function of corn futures market can reduce the risk ratio of spot corn market is not very high, which indicates that the hedging function of corn futures market in China has a lot of room to play. Finally, based on the research on the function of price discovery and optimal hedging in corn futures market, some reasonable suggestions are put forward.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.6;F323.7

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