中美玉米期货市场风险溢出效应研究

Study on risk spillover effects of corn futures markets in China and United States

为研究中美玉米期货市场风险溢出效应的方向和大小,选取2006年1月4日至2017年5月31日大连商品期货交易所和芝加哥商品交易所中的玉米主力连续价格以及央行外汇中间价的日数据为样本数据,并将样本期间分为3个阶段,借助平稳性检验、相关性检验,采用EGARCHGED模型、VaR模型和格兰杰因果检验来研究两市玉米期货的风险溢出效应。研究发现,中美两国玉米期货市场的风险存在正相关性,且在金融危机期间风险相关性明显增强并存在双向的风险溢出效应;在金融危机之前,美国玉米期货市场对中国玉米期货市场有风险溢出效应。

In order to study the orientation and size of the risk spillover effect of the Chinese and US corn futures market,the daily data from January 4th 2006 to May 31st 2017 in Dalian Commodity Exchange and Chicago Commodity Exchange in the main corn continuous price and the median price of foreign exchange of the central bank are taken as the sample data.The sample period is divided into three stages.The risk spillover effect of corn futures in the two countries is studied with the stationarity test,the correlation test,by using the EGARCH-GED model and VaR model and Grainger causality test.The study found that there is a positive correlation between the risk of two corn futures markets of China and the United States,and before the financial crisis,the corn futures market in the United States has a risk spillover effect on the corn futures market in China.