基于DCC-MVGARCH模型的我国大宗商品价格联动关系研究

Empirical Study on the Correlations among Different Commodity Futures in China Based on DCC-MVGARCH Model

本文使用DCC-MVGARCH模型,实证分析了2006年6月—2014年我国白糖、铜、天然橡胶和燃料油4种大宗商品期货价格收益率之间的联动关系。结果表明,由于消费习惯、经济周期及指数投资基金缺乏、交易限制等多方面因素影响,我国大宗商品之间存在一定的动态联动关系,但相关程度不大且近年呈现出下降的趋势。

This paper empirically analyzes the correlations of bulk commodity futures yields of sugar, copper, rubber and fuel oil in China from June 2006 to June 2014, based on DCC-MVGARCH model. The empirical results show that due to the consumption habit, economic cycle, the lack of index fund, trading restrictionand other factors, there are a few positive correlations among Chinese commodities, and these results also show that the correlation has been descending in recent years.