摘要
【目的】分析人民币汇率变动与农产品期货间的相关性,为政府完善汇率机制、改善农产品进出口结构提供参考。【方法】以大豆、玉米期货为研究样本,基于DCC-MVGARCH模型及Granger因果关系检验,分析人民币汇率变动与农产品期货间的动态相关性及其波动溢出效应。【结果】人民币汇率变动与玉米和大豆期货之间存在常相关性,汇率可规避农产品期货市场风险;人民币汇率与玉米期货间存在双向波动溢出效应,与大豆期货间存在单向的、非对称溢出效应,汇率变动能够影响大豆期货的波动,大豆期货波动不能引起汇率变动。【建议】引导投资者多元投资、分散风险,完善汇率传导机制、促使市场自由化建设,完善农产品流通渠道、构建纵向产业链结构,鼓励加工企业生产、拓宽农产品消费渠道,以维护农产品期货市场的稳定。
【Objective 】The correlation of RMB exchange rate changes and agricultural futures was analyzed to provide references for the government to regulate the exchange rate mechanism and optimize the import and export struc-ture of agricultural products. 【 Method 】 With soybean and corn futures as the research sample, the DCC-MVGARCH model and Granger causality test were used to study the dynamic correlation and volatility spillover effects of RMB exchange rate and agricultural futures. 【Result 】The results showed that the correlation of RMB exchange rate and corn and soybean futures was static, and that RMB exchange rate could be used to avoid price risks of agricultural products futures. A remarkably bidirectional volatility spillover effect existed between RMB exchange rate and corn futures, while there only an unidirectional and asymmetric volatility spillover effect existed between RMB exchange rate and soybean futures, in other words, both corn and soybean futures were influenced by RMB exchange rate changes,but soybean futures volatility could not influence RMB exchange rate on the contrary. 【 Suggestion 】 Some proposals were put forward to maintain the stability of agricultural futures market including guiding investors to make diversified investments to spread risk, optimizing the exchange rate mechanism to promote construction of market liberalization,improving the agricultural product circulation channels to build a vertical industry chain structure and supporting agricultural products processing enterprises to broaden the channels of consumption.
出处
《南方农业学报》
CAS
CSCD
北大核心
2014年第11期2087-2092,共6页
Journal of Southern Agriculture
基金
教育部人文社会科学研究项目(12YJA630139)
