农产品期货价格波动关联——基于日频数据和关联测量新框架

The Volatility Connectedness of Agricultural Futures Prices——Based on Daily Data and a New Mearsurement Framework

基于2014年12月19日—2018年3月20日的日频期货价格数据,借鉴Diebold和Yilmaz提出的新框架,本文从总关联、品种与市场关联和品种间关联三个视角考察我国农产品期货价格的波动关联及其时变特征。研究结论:(1)从总关联来看,我国农产品期货价格波动总关联度为44. 8%,且在样本期内呈"倒U型"走势;(2)从品种与市场关联来看,豆油、菜籽油、棕榈油、豆粕四种期货受期货市场影响较大,且这四种期货对期货市场的影响也较大;(3)从品种间关联来看,我国各农产品期货品种间的波动关联度存在品种差异。按波动关联度分,油脂类期货间、粕类期货间和处于同一产业链的期货间具有强关联性,而小麦、白糖、棉花、鸡蛋和橡胶等期货与其他期货间的关联性较弱。

Based on the daily data of futures price from December 2014 to March 2018,this paper investigate the agricultural futures price volatility connectedness in China from the perspectives of total connectedness, total directional connectedness and pairwise directional connectedness. We reach conclusions as follows:( 1) The total connectedness of agricultural futures price volatility is 44.8%,which is appeared as an 'inverted U'trend in the sample period;( 2) From the perspective of total directional connectedness,soybean oil,rapeseed oil,palm oil and soybean meal are greatly influenced by the futures market,and the four futures in turn have great impact on the futures market;( 3) From the view of pairwise directional connectedness,there are differences in the degree of price volatility connectedness among the varieties of agricultural futures in China. According to the degree of price volatility connectedness,oil futures,meal futures and futures in the same industrial chain have strong connectedness,while futures of wheat,sugar,cotton,eggs and rubber have weak connectedness with other futures.