摘要
利用2010年1月至2015年12月国内外大豆现货与期货日价格数据,通过构建MS-VAR模型对我国大豆市场波动的状态转换特征进行实证分析。研究结果表明:我国大豆市场存在明显的状态转换和阶段特征。大豆市场在正常状态下运行的概率要高于非正常状态,两者的平均持续概率分别为99.68%和99.65%,平均持续时间分别为313.90和286.22天。大豆市场的运行阶段主要有两个,正常状态为2010年1月至2012年5月以及2014年12月至2015年4月,且存在短暂的状态回游现象,其余为非正常状态。大豆市场状态转换是国际市场和制度性因素共同作用的结果。为确保我国大豆市场稳定运行,应警惕市场状态转换,建议坚持大豆市场化改革方向,实行稳定市场扶持政策,建立健全市场价格预警机制。
Based on the soybean spot and futures prices data , which existed between January 2010 andDecember 2010 , andused the MS-VAR model, we make an empirical analysis of the soybean market’sstate transition characteristics of the volatility. The results show that there exist obvious state transitionand phase characteristics in the soybean market of our country. Soybean market operation probability ofnormal conditions is higher than that of abnormal condition , and the average cont99. 68% and 99. 68 % , respectively , the average duration of the two conditions last days. There are two main soybean market running stages , the normal one appeared 2010 and May of 2012 and between December of 2014 and April of 2015. There also existed transientstate migration phenomenon. Soybean market state transition is the result of the combination ofinternational market and institutional factors. In order to ensure the stable operation of soybean market inChina , we should be vigilant to the market state transitions. It is recommended that we need to stick tothe soybean market reform direction , carry out stable market supporting policies , and to establish andperfect the market price warning mechanisms.
出处
《华南理工大学学报（社会科学版）》
2017年第2期45-52,共8页
Journal of South China University of Technology(Social Science Edition)
基金
国家自然科学基金项目(71503250)
农业部软科学项目(201516-1)
清华大学中国农村研究院项目(CIRS2015-1-1)
关键词
大豆市场
波动特征
状态转换
MS-VAR模型
soybean market
characteristics of market volatility
state transition
MS-
