不同价格政策视角下中美大豆期货市场的风险溢出效应

Risk Spillover Effects in Sino-US Soybean Futures markets under Various Price Support Policies in China

受到由贸易保护主义引起的贸易战的影响,中美两国大豆期货价格波动增强。为保证豆农种植大豆的积极性,我国开始实行价格支持政策。选取2006—2018年的DCE黄大豆1号连续合约以及CBOT大豆主力连续合约的日收盘价数据,建立模型可以探讨在政府颁布不同大豆价格支持政策前后,中美大豆期货市场的风险溢出的变化情况。研究发现:只有在市场化收购加补贴机制实施后,中美大豆期货市场风险关联性才有所加强,这说明该政策在对大豆价格具有一定的保护作用的同时也在一定程度上放开了我国大豆期货市场。因此,我国应坚持市场化改革方向,不断完善我国对大豆实行的价格支持政策,使其在保障豆农收入的同时,增强我国期货市场同国际期货市场的关联性;应加快活跃黄大豆2号期货并适当调整我国大豆产业发展方向。

Affected by the Sino-US trade war triggered by protectionism,the volatility of soybean futures in both China and the United States has increased.In order to ensure the enthusiasm of soybean farmers to grow soybeans,China has implemented price support policies to help the soybean sector.By selecting the daily closing price data of Dalian Commodity Exchange(DCE)soybean No.1 and the Chicago Board of Trade(CBOT)soybean contracts from 2006 to 2018,this paper uses EGARCH model to analyse the change of risk spillovers in soybean futures markets of China and the United States before and after the Chinese government promulgated different soybean price support policies,the study found that:only by implementing of the market-oriented acquisition and subsidy mechanism,the risk correlation of soybean futures market between China and the United States has been strengthened,which demonstrates that the policies have generated certain protective implications on soybean prices and liberalized the soybean futures market in China.We recommend that China should adhere to the direction of market-oriented reform and improve the price support policy for soybeans,so as to enhance the relevance between China’s futures market and international futures market while securing stable revenue for soybean farmers.More importantly,China should promptly accelerate the activation of soybean futures No.2 and appropriately adjust its direction of development for soybean industry.