我国商品期货市场风险溢价实证研究——基于农产品和工业品差别视角

An Empirical Study on Risk Premia in Chinese Commodity Futures Market——From Perspective of Differences between Agricultural and Industrial Futures

本文以2008年国际金融危机前期(2004年9月—2007年12月)、国际金融危机影响时期(2008年1月—2014年12月)和国际金融危机后三个时间阶段183个月的12 898条数据为样本,对比分析我国7个农产品期货和9个工业品期货跨2月、跨4月和跨6月合约的价格和收益率数据。研究发现:在我国商品期货市场,不同的宏观经济环境下工农业品期货的风险溢价表现不同,且均有别于商品期货既有研究得出的系统性风险溢价;我国商品期货市场的系统性风险溢价解释因子组合无法分别解释工农业品期货的风险溢价。这一发现为我国商品市场风险溢价的板块差异性和国际金融危机期间的政策差异性研究做了有益补充。未来我国的行业政策应坚持市场化方向,在保证国内大宗商品供应链自主安全可控的前提下,保持定价机制合理、金融市场运转良好;重视期货市场,尤其是期限结构方面在政策效果反馈中的作用,不断探索和完善大宗类产业政策起效的精准度,评估政策对相关价格和衍生品的影响程度与影响路径,更好地发挥商品期货市场服务实体经济的功能。

This paper compares and analyzes 12898 spot and term contract data over 183 months of the price and yield rate of 7 agricultural futures and 9 industrial futures in Chinese commodity futures market with 2-,4-and 6-month realized contracts that divided into 3 periods which are the pre-economic crisis period( 2004. 9-2007. 12),period affected by economic crisis( 2008. 1-2014. 12),and post-crisis period( 2015. 1-2019. 12). We find that in Chinese commodity futures market,different macroeconomic environments show different risk premia in agricultural and industrial sectors,which are all different with existing discovered system premia. And these system factors cannot explain agricultural and industrial risk premia respectively. These findings provide a useful supplement to the study of risk premia in perspective of differences in sectors and differences in industrial policies during crisis period in China’s commodity futures markets. In the future,China’s industrial policies should adhere to the market-oriented direction,keep the pricing mechanism reasonable and the financial market running well on the premise of ensuring the independent,safe and controllable supply chain of domestic bulk commodities. Attach importance to the role of the futures market,especially the term structure,in the feedback of policy effect,constantly explore and improve the accuracy of the effectiveness of bulk commodities industrial policies,evaluate the impact depth and path of policies on relevant prices and derivatives,and give better play to the important function of commodity futures market in serving the real economy.