摘要
以黄大豆1号期货结算价在2006年1月4日至2016年8月2日期间的日度数据为样本,通过运用MCMC算法估计SV模型,实证考察了中国农产品期货市场的波动性,充分证实我国农产品期货价格波动的聚集性、时变性和持续性。并结合小波多分辨率分析的方法对收益率的波动成分进行分解,刻画出我国农产品期货收益率序列的波动成分在不同分解尺度上的动态特征,解释了我国农产品期货收益率的短期波动及长期趋势,并发现我国农产品期货市场对国际市场的依赖性较强,对极端事件的冲击也十分敏感。据此,指出在研究我国农产品期货市场波动性特征的同时,也要时刻警惕我国农产品期货市场与其他市场之间的波动溢出效应,及时调整投资策略,加强金融监管。
Based on No.1Soybeans futures settlement price from January 4,2006 to August 2,2016,this paper explores the volatility of the Chinese Agricultural Commodities Futures Market by using MCMC algorithm to estimate SV model,which demonstrates the volatility characteristic of Chinese agricultural futures market,such as clustering,time-varying and persistent.Then,the paper uses Wavelet Multi-resolution Analysis to decompose the volatility data,which verifies Chinese agricultural futures market is dependent on the international market.And the impact of extreme events is also very sensitive.Accordingly,the paper argues that we must also remain vigilant of volatility spillovers between agricultural markets and other markets,adjust the investment strategy timely,and strengthen financial supervision.
作者
沈悦
张澄
SHEN-Yue ZHANG Cheng(School of Economics and Finance, Xi＇an J iaotong University, Xi＇an 710061, China)
出处
《西北农林科技大学学报（社会科学版）》
CSSCI
北大核心
2016年第6期114-120,共7页
Journal of Northwest A&F University(Social Science Edition)
基金
国家自然科学基金项目(71373201)
