我国玉米期现货市场的风险传递效应研究

Risk Transmission Between Corn Futures and Spot Markets in China

以2016～2017年我国玉米期现货市场为基础,采用双变量EC-EGARCH模型对我国玉米期货市场和现货市场之间的价格引导关系及风险传递效应进行研究。结果表明,我国玉米期货与现货价格之间具有长期均衡关系,期货价格对市场信息的反应速度较快,对现货市场具有引导作用。将协整残差项作为解释变量引入均值方程和条件方差方程,对期货价格与现货价格均有明显的调节作用,更加准确地刻画了二者之间的关系,且协整残差项对期货市场的波动具有负向影响,对现货市场的影响不显著。期货对现货具有单向波动溢出效应,印证了玉米期货对现货市场的引导作用。

This paper studies the relationship and risk transmission between China’s corn futures and spot mar-kets with the bivariate EC-EGARCH model based on market data from 2016 to 2017.The results show that long-term equilibrium exists between corn futures and spot markets in China,and the reaction of corn futures on market information is more sensitive.The cointegration residuals has negative impact on futures market volatility,and it is an important explanatory variable for both conditional mean and conditional variance in the spot market and the fu-ture market,so the bivariate EC-EGARCH model with cointegrating residual is a good choice to study the transmis-sion between the spot market and the future market.The future market has volatility spillover effect on the spot mar-ket,and it confirms the guiding role of corn futures on the spot market.