菜籽油期现货市场价格溢出效应和动态关联性研究

Research on the Price Spillover Effect and Dynamic Correlation between the Futures Market and the Spot Market of Rapeseed Oil in China

通过VAR-BEKK-GARCH模型和DCC-MGARCH模型对我国菜籽油期现货市场价格溢出效应和动态关联性进行实证分析,结果显示:菜籽油期货市场对现货市场存在单向的均值溢出效应,但是期货市场是否始终有效地发现和引导现货价格还有待验证;另外还观察到菜籽油期现货市场动态关联程度呈现时变性。研究表明,要促进菜籽油期货市场和油菜籽产业健康发展,需要不断推进全面深化改革,从体制机制和社会化服务等方面下功夫,充分发挥市场机制的作用。

This paper uses the VAR-BEKK-GARCH model and the DCC-MGARCH model to conduct an empirical analysis of the price spillover effect and dynamic correlation between the futures market and the spot market of rapeseed oil in China.The results show that:the futures market of rapeseed oil in China has a one-way mean spillover effect on the spot market,but it remains to be verified whether the futures market can always effectively detect and guide the spot price.It is also found that there exists dynamic correlation and time-varying characteristics between the futures market and the spot market of rapeseed oil in China.Studies have shown that to promote the healthy development of the rapeseed oil futures market and the rapeseed industry,it is necessary to give full play to the decisive role of market mechanisms,continue to promote comprehensive deepening reforms of the market,and work hard in terms of institutional mechanisms and social services.