我国粮食市场价格波动风险研究

Research on Price Fluctuation Risk of China's Grain Markets

文章利用ARCH类模型和Granger因果关系检验对我国小麦、玉米、大豆市场价格波动特征和溢出效应进行了实证分析,研究表明:在5%的显著性水平下,小麦、玉米、大豆价格变化具有明显的时变性和集簇性;小麦和玉米的价格波动具有非对称性;玉米市场要求高风险高回报。同时,从长期来看,小麦市场价格波动是引起玉米市场和大豆市场价格波动的格兰杰原因,但玉米、大豆市场价格波动不是小麦市场价格波动的格兰杰原因;玉米市场价格波动和大豆市场价格波动之间互为格兰杰原因。

Using ARCH models and Granger causality test. this paper empirically analyzes price fluctuations and causal effects in wheat, corn and soybean markets separately.The resuhs show that the price fluctuations of the wheat, corn and soybean have obvious time-varying and clustering under the significant level of 5%.The prices volatility in wheat and corn market is asymmetry, and corn market requires high return for high risk.Meanwhile, in the long run, volatility in wheat market is the granger cause of the volatilities in corn and soyhean markets, however, the volatilities in corn and soybean markets are not the granger cause of the volatility in wheat market.Meanwhile, there exist double-directional granger causal relationships between corn and soybean markets.