菜籽油期现货市场价格溢出效应和动态关联性研究

贵州财经大学学报 ›› 2021 ›› Issue (01): 76-85.

菜籽油期现货市场价格溢出效应和动态关联性研究

王浴青, 温涛

西南大学经济管理学院, 重庆 400716

收稿日期:2020-05-31 出版日期:2021-01-15 发布日期:2021-01-18
作者简介:王浴青(1989-),女,重庆人,西南大学经济管理学院博士研究生,研究方向为经济统计与金融工程;温涛(1975-),男,通讯作者,重庆人,西南大学经济管理学院教授、博士生导师,研究方向为农村金融与微型金融、金融理论与政策、农业经济统计与政策评价。

Research on the Price Spillover Effect and Dynamic Correlation between the Futures Market and the Spot Market of Rapeseed Oil in China

WANG Yu-qing, WEN Tao

College of Economics and Management, Southwest University, Chongqing, 400716, China

Received:2020-05-31 Online:2021-01-15 Published:2021-01-18

摘要/Abstract

摘要： 通过VAR-BEKK-GARCH模型和DCC-MGARCH模型对我国菜籽油期现货市场价格溢出效应和动态关联性进行实证分析，结果显示：菜籽油期货市场对现货市场存在单向的均值溢出效应，但是期货市场是否始终有效地发现和引导现货价格还有待验证；另外还观察到菜籽油期现货市场动态关联程度呈现时变性。研究表明，要促进菜籽油期货市场和油菜籽产业健康发展，需要不断推进全面深化改革，从体制机制和社会化服务等方面下功夫，充分发挥市场机制的作用。

关键词: 菜籽油期货, 农产品价格, 溢出效应, 动态关联

Abstract: This paper uses the VAR-BEKK-GARCH model and the DCC-MGARCH model to conduct an empirical analysis of the price spillover effect and dynamic correlation between the futures market and the spot market of rapeseed oil in China. The results show that:the futures market of rapeseed oil in China has a one-way mean spillover effect on the spot market, but it remains to be verified whether the futures market can always effectively detect and guide the spot price. It is also found that there exists dynamic correlation and time-varying characteristics between the futures market and the spot market of rapeseed oil in China. Studies have shown that to promote the healthy development of the rapeseed oil futures market and the rapeseed industry, it is necessary to give full play to the decisive role of market mechanisms, continue to promote comprehensive deepening reforms of the market, and work hard in terms of institutional mechanisms and social services.

Key words: rapeseed oil futures, agricultural product prices, spillover effects, dynamic correlation

中图分类号:

F323.7

王浴青, 温涛. 菜籽油期现货市场价格溢出效应和动态关联性研究[J]. 贵州财经大学学报, 2021(01): 76-85.

WANG Yu-qing, WEN Tao. Research on the Price Spillover Effect and Dynamic Correlation between the Futures Market and the Spot Market of Rapeseed Oil in China[J]. Journal of Guizhou University of Finance and Economics, 2021(01): 76-85.

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