基于天然橡胶期货市场的农产品金融化测度分析

Measurement study of agricultural product financialization based on natural rubber futures market

通过中国天然橡胶期货市场2011年1月至2017年4月期间的周数据,研究天然橡胶期货与国内、国际金融市场的信息溢出效应及其时变特征,分时期考察了期货市场金融化和商品价格之间的波动关系,并构造VAR模型对中国天然橡胶市场进行金融化测度,结果发现:中国天然橡胶市场与国内、国际金融市场间存在显著的单向信息溢出效应,金融市场对天然橡胶市场的单向溢出。中国天然橡胶市场与国内、国际金融市场间的信息溢出程度比较高,在第3期达到最大溢出,一般在15%左右。在溢出方向上,国际金融市场对中国天然橡胶市场为显著的净溢出。相比较于国际金融市场,国内市场对天然橡胶市场的信息溢出程度较低,且溢出效应显著性检验结果不理想。

With the week data from January 2011 to April 2017 on the Chinese natural rubber futures market,The paper analyzed the information spillover effects and the time-varying characteristics of natural rubber futures at home and abroad in the international financial market,the fluctuation relationship between financial futures market and commodity prices in different period,and did financial measure by constructing the VAR model,then,the paper found that there is a significant one-way information spillover effect between Chinese natural rubber market and the domestic and international financial markets.It is a one-way spillover of the natural rubber market by financial markets..There is a relatively high level of information spillover between Chinese natural rubber market and the domestic and international financial markets.Tt reached the maximum in the third period,That is about 15%.In the direction of spillover,the international financial market is a obviously net spillover to China's natural rubber market.Compared with the international financial market,the information spillover of the domestic market is low and not obvious.