中美粮食期货价格波动的动态关联——基于DCC-MGARCH模型的实证分析

The Dynamic Correlation of Food Price Between Domestic and Abroad: Based on DCC-MGARCH Model

在国际化背景下,控制粮食价格波动风险是我国实现长期粮食安全必须高度关注的政策问题.本文利用DCC-MGARCH模型实证分析了美国粮食价格波动向中国传递的动态变化,以及在产品上的差异.研究结果表明：中美大豆期货价格波动动态关联度在0.2～0.6之间,而中美小麦的动态关联度在均值零附近变化.这说明,中美大豆期货交易价格波动联系紧密,而小麦关联度较差.中美大豆期货价格的动态关联度从国际粮食危机前的0．17跃升为危机后的0．36,非配对t检验结果显示,该差异是显著的;而中美小麦期货价格收益率的动态关联未发生显著变化.这间接证明了国际粮食价格波动主要从较开放的大豆市场传递到中国.

Under the background of internationalization, It is public policy, which received highly attention, tocontrol the food price volatility risk in order to ensure China忆s long-term food security when China utilizes globalresources to keep domestic food security. This paper uses the DCC-MGARCH model to do the empirical analysison the dynamic correlation of food price between USA and domestic future market and the difference between soy-bean and wheat. The results show that the dynamic correlation index of soybean future price between China andthe United States is 0. 2 to 0. 6, however, the dynamic correlation index of wheat price changes around 0. Itmeans that soybean price volatility between China and USA are closely related, however, it is not this case forwheat. This paper also finds that the dynamic correlation index of soybean future price between China and the U-nited States jumped from 0. 17 to 0. 36 after the international food crisis. The un-paired t test indicates that thedifference of soybean price dynamic correlation between before and after crisis is significant, but it is not true forwheat. It indirectly indicated that international food price volatility spread to China in soybean market, which hasmore open market condition, but there is no significant effect in wheat market.