摘要
根据2008~2019年国内大豆、玉米、棉花、豆粕和白糖期货合约日收盘价格数据,通过建立基于Beta-skew-t-EGARCH模型研究了农产品期货价格波动规律,实证研究结果表明:农产品期货合约价格波动具有较强的持续性和聚集性且呈现出杠杆效应,并且在履约期前后价格剧烈波动。以玉米为例,从供求关系和物价指数2个方面分析了波动成因以及影响程度。从供给层面角度来看,种植面积的上升从源头推动了玉米产量的上涨,从而稳定了玉米价格;从需求层面角度来看,人口总数和人均GDP的增加扩大了玉米的需求量,促使了玉米价格持续上涨。因此,建议我国保持农产品种植面积的平稳,稳定农产品供给,同时,还要提高农产品价格市场监测和预警能力,并积极优化期货交易主体结构。
Futures extreme value risk prediction is closely related to futures risk management.In order to improve the precision of agricultural products futures extreme risk measures and reflect comprehensively the agricultural products futures yield sequence spike thick tail,deflection,agglomeration and leverage effect,we studied the fluctuation rule of agricultural futures price based on Beta-Skew-t-EGARCH model and futures contract daily closing price data of domestic soybean,corn,cotton,soybean meal and sugar from 2008 to 2019.The empirical research results show that the price fluctuation of agricultural futures contract has strong persistence,aggregation and leverage effect.The price fluctuates violently before and after the performance period.Corn was taken as an example,and the causes and influence degree of price fluctuation were analyzed based on the supply and demand relationship and price index.From the perspective of supply,the increase of planting area promotes the increase of corn yield from the source,thus stabilizing the price of corn.At the demand level,the increase of the total population and per capita GDP expands the demand for corn and promotes the continuous rise of corn prices.Impulse response function shows that corn price fluctuation has certain influence on price index.Therefore,it is suggested that China maintain the stability of agricultural planting area,stable supply of agricultural products.At the same time,it is necessary to improve the market monitoring and early warning capacity of agricultural prices,and actively optimize the main structure of futures trading.
作者
谷政
陈皓东
孙永青
GU Zheng;CHEN Hao-dong;SUN Yong-qing(School of Finance,Nanjing Audit University,Nanjing 211815,China)
出处
《江西农业学报》
CAS
2021年第9期109-119,共11页
Acta Agriculturae Jiangxi
基金
教育部人文社会科学规划研究基金项目“一带一路沿线省份天气风险耦合与农业指数保险问题研究”(17YJA790023)。
