棉花价格波动溢出效应
发布时间：2018-10-19 11:30
【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。
[Abstract]:In this paper, the domestic spot market, the domestic futures market and the international futures market of cotton are put into the same analytical framework, and the ternary VAR-BEKKGARCH model is constructed, and the spillover effect of cotton price fluctuation is analyzed on the basis of the validity test of the estimated results of the model. The results show that there is a one-way price volatility spillover effect between domestic futures market and international futures market, as well as a two-way price volatility spillover effect between domestic futures market and international futures market. The conclusion of this study shows that there are common information on cotton price fluctuation in domestic and foreign cotton market, which is useful for government to design cotton market regulation policy and cotton market participants to correctly predict cotton price volatility and calculate intermarket hedging rate. It is of great significance to design the optimal portfolio.
【作者单位】： 商务部国际贸易经济合作研究院;
【基金】：国家社会科学基金资助项目(1313JY141)
【分类号】：F313.7
本文编号：2280986
[Abstract]:In this paper, the domestic spot market, the domestic futures market and the international futures market of cotton are put into the same analytical framework, and the ternary VAR-BEKKGARCH model is constructed, and the spillover effect of cotton price fluctuation is analyzed on the basis of the validity test of the estimated results of the model. The results show that there is a one-way price volatility spillover effect between domestic futures market and international futures market, as well as a two-way price volatility spillover effect between domestic futures market and international futures market. The conclusion of this study shows that there are common information on cotton price fluctuation in domestic and foreign cotton market, which is useful for government to design cotton market regulation policy and cotton market participants to correctly predict cotton price volatility and calculate intermarket hedging rate. It is of great significance to design the optimal portfolio.
【作者单位】： 商务部国际贸易经济合作研究院;
【基金】：国家社会科学基金资助项目(1313JY141)
【分类号】：F313.7
【相似文献】
相关期刊论文 前6条
1 吴海霞;王静;;我国粮食市场价格波动溢出效应研究[J];农业技术经济;2012年10期
2 顾蕊;郭俊芳;田甜;;大豆价格波动溢出效应研究[J];价格理论与实践;2013年03期
3 施亚明;何建敏;;时变视角下中美农产品期货波动溢出效应实证[J];北京航空航天大学学报(社会科学版);2013年05期
4 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年07期
5 吴静杰;陈锋;高展军;;天然橡胶现货与期货市场波动溢出效应的实证研究——基于BEKK-GARCH模型[J];价格理论与实践;2013年01期
6 吴静杰;陈锋;;天然橡胶两市收益率的动态关系研究[J];西北人文科学评论;2012年00期
相关会议论文 前1条
1 吴海霞;王静;;我国粮食市场价格波动溢出效应研究[A];全国博士生论坛“现代化进程中的农村与农民问题”论文集[C];2012年
相关硕士学位论文 前1条
1 孔同璐;中国农产品期货市场间的波动溢出效应分析[D];东北财经大学;2015年
，本文编号：2280986
本文链接：https://www.wllwen.com/weiguanjingjilunwen/2280986.html
