玉米产业链期货价格传导效应研究

Study on the Conduction Effect of Futures Price in Corn Industry Chain——Based on VAR-DCC-GARCH model analysis

为了研究临储政策改革前后我国玉米与淀粉期货价格之间的传导效应,本文运用VAR-DCC-GARCH模型分析,研究发现（1）临储政策改革前,玉米与淀粉期货价格不存在协整关系;改革后,玉米与淀粉期货价格之间存在协整关系。（2）临储政策改革前,玉米与淀粉期货价格之间不存在双向引导关系;改革后,玉米与淀粉期货价格之间存在显著的双向引导关系。（3）临储政策改革前后玉米与淀粉期货价格之间的动态影响没有产生显著性变化。（4）临储政策改革后与改革前相比,玉米与淀粉期货价格之间的关联性增强、关联的稳定性提高,玉米与淀粉期货价格波动幅度大、收益高。

In order to study the transmission effect between China＇s corn and starch futures prices before and after the reform of the storage policy, this paper uses the price data of corn and starch futures from December 2014 to June 1818 of Dalian Commodity Exchange, based on VAR-DCC-GARCH model analysis, research findings（1） Before the reform of the storage policy, there is no cointegration relationship between corn and starch futures prices; after the reform, there is a cointegration relationship between corn and starch futures prices.（2） Before the reform of the storage policy, there is no two-way guiding relationship between corn and starch futures prices; after the reform, there is a significant two-way guiding relationship between corn and starch futures prices.（3） There was no significant change in the dynamic impact between corn and starch futures prices before and after the implementation of the policy.（4） Compared with before the reform, the relationship between corn and starch futures prices increased, the stability of the correlation increased, and the corn and starch futures prices fluctuated greatly and the returns were high.