摘要
本文引入价格泡沫理论与分析方法,提出了基于价格泡沫视角的农产品期货市场风险评价方法和分析框架,创建了"泡沫长度""泡沫频度""泡沫强度"3个风险评价指标,对2006~2014年中国农产品期货市场历史风险水平进行了测量和评价。依据风险评价结果,本文将10种主要农产品期货品种划分为高、中、低3个风险等级,并总结出各个风险等级商品的风险特征和调控启示。本文的研究结果显示,商品功能属性不能完全显示商品风险属性,有必要按照"分级监控、重点防范"的原则,完善农产品期货市场风险监管体系。
Based on the price bubble theory and its detection model, this article proposes a new analytical framework for risk assessment in agricultural futures markets. It creates three risk indicators to assess the historical risk level based on bubble detection results, namely, ＂bubble length＂, ＂bubble frequency＂ and ＂bubble strength＂. Relying on these risk indicators, it empirically assesses the historical risk for 10 major agricultural commodities in China during 2006-2014. Furthermore, the study categorizes those 10 commodities into three risk categories （namely, high, medium and low）, and proposes implications for risk management in practice. The results indicate a need to focus more on the high-risk commodities in the risk supervision system in agricultural futures markets.
出处
《中国农村经济》
CSSCI
北大核心
2017年第5期73-87,共15页
Chinese Rural Economy
基金
国家自然科学基金项目"‘金融化’背景下中国农产品期货与现货市场风险评价与传导研究"(项目编号:71673103)的阶段性成果
关键词
农产品期货市场
风险评价
价格泡沫
右尾单位根检验
Agricultural Futures Market
Risk Assessment
Price Bubble
Right-tail Unit Root Test
