价格支持政策改革背景下国内外粮食市场溢出效应与动态关联性研究

The Spillover Effect and Dynamic Correlation of Chinese and Global Grain Markets in the Context of Price Support Policy Reform

基于2011年1月4日至2020年11月30日玉米和大豆国内外期现货市场日度价格数据,运用BEKK-GARCH模型和DCC-GARCH模型分析不同政策背景下玉米、大豆国内外期现货市场间溢出效应和动态关联性。研究结果显示:对于玉米市场而言,临时收储政策改革后国内期货市场对国内现货市场的引导作用增强,两市场间的关联性提高,国内和国际市场间波动溢出效应的显著性增加,但国内和国际市场间的关联性一直较低;对大豆市场而言,临时收储政策改革使得大豆国内期现货市场间均值溢出效应和波动溢出效益的显著性均明显提升,但临时收储政策改革初期大豆国内和国际市场间波动溢出效应的显著性明显降低,随着政策市场化改革的持续推进,生产者补贴政策时期国内和国际市场间波动溢出效应的显著性逐渐提高。进一步比较玉米、大豆各市场间关联关系,发现临时收储政策改革前后玉米国内期现货市场间关联性一直高于大豆国内期现货市场间关联性,而玉米的国内和国际市场间关联性基本小于大豆的国内和国际市场间关联性。

Based on the daily price data of corns and soybeans in the Chinese and global spot and futures markets from January 2011 to November 2020.this paper looks at the sillover efect and dynamic correlation between corn and soybean domestic and foreign markets in different policy contexts within the BEKK-GARCH model and the DCC-GARCH modeL The results show that for the corn market,the domestice futures market en-hances its guiding power over the domestic spot market after the reform of the temporary purchasing and stor age policy is implemented,and the correlation between the two markets has increased.The volatility spillover effect between the domestic and international markets has increased significantly,but the correlation between the domestic and international markets is low.For the soybean market,the temporary purchasing and storage policy reform has significantly increased the significance of the mean spillover efect and the volatility spillover effeet between the domestic soybean futures and spot markets.However,in the early stage of the temporary purchasing and storage policy reform,the significance of the volatility spillover effect between the domestic and international markets for soybeans is significantly reduced.With the continuows development of market-orien-ted poliey reforms,the significance of the volatility spillover effect between the domestic and international mar kets gradully increases when the producer subsidy policy is implemented.Regarding the correlation between corn and soybean markets,it is found that the correlation between the domestic corn futures spot markets be-fore and after the temporary purchasing and storage policy reform is always higher than the correlation between the domestic soybean futures spot markets.However,the correlation between the domestic and international corn markets is smaller than the correlation between the domestic and international soybean markets.