摘要
在目前国内农产品"保险+期货"试点项目中,期货价格保险一般取保险期内期货平均价作为理赔依据。选取2010年1月~2018年8月的月度数据,从非线性角度出发构建了MSVAR模型对中国棉花期货价格、现货价格和市场情绪三者间的关系进行了实证分析。结果表明:中国棉花期货价格、现货价格和市场情绪3个变量间具有显著的非线性关系;考虑棉花政策变动等带来的影响后,棉花期货价格和市场情绪之间存在双向均值溢出关系,棉花期货价格对现货价格具有单向均值溢出效应;在棉花"保险+期货"模式的保险产品设计中,应充分考虑市场情绪对期货价格的影响,设定相应价格调整因子。根据研究结果,提出了相关对策建议。
At present,in the domestic "insurance + futures" pilot project of agricultural products,the futures price insurance generally takes the average price of futures during the insurance period as the basis for claims.This paper selects the monthly data from January 2010 to August 2018 and constructs the MSVAR model from a nonlinear perspective to empirically analyze the triangle relationship among China’s cotton futures prices,spot prices and market sentiment.The results show that there are significant non-linear relationships among the three variables.Considering the impact of cotton policy changes,there is a bilateral mean spillover relationship between cotton futures prices and market sentiment.While cotton futures prices has a unidirectional mean spillover effect on the spot price.In the insurance product design of the cotton "insurance + futures" model,the influence of market sentiment on the futures price should be fully considered,and the corresponding price adjustment factor should be set.According to the research results,relevant countermeasures and suggestions are proposed in this paper.
作者
杨艳军
胡子晴
YANG Yan-jun;HU Zi-qing(School of Business,Central South University,Changsha,Hunan 410006)
出处
《价格月刊》
北大核心
2019年第6期6-13,共8页
基金
中南大学研究生自主探索创新项目“农产品目标价格改革背景下‘保险+期货’模式演化、运作效率与风险监控研究”(编号:2018zzts295)
