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| 文章编号：1672-3104(2018)05-0117-12 |
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国内和国际棉花期现货市场溢出效应与动态关联研究——基于不同政策背景下的比较分析 |
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丁存振，肖海峰 |
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（中国农业大学经济管理学院，北京，100083） |
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| 摘 要： 利用2008年1月—2017年3月国内和国际棉花期现货市场日度价格数据，通过BEKK-GARCH模型和DCC-GARCH模型实证分析了不同政策背景下国内和国际棉花期现货市场间溢出效应与动态关联性。结果表明：国内和国际棉花期现货市场间存在显著的价格引导关系，但不同时期引导关系存在差异；国内棉花现货市场与其他棉花市场关联程度均较低，而国内棉花期货市场与国际棉花期现货市场、国际棉花现货市场与国际棉花期货市场关联程度相对较高；临时收储政策的实施对国内和国际棉花市场间均值溢出效应影响较小，对国内和国际棉花市场间波动溢出效应影响较大，且降低了国内棉花市场与国际棉花市场之间的关联程度；而目标价格政策与临储政策相比，对国内和国际棉花市场价格溢出效应和关联程度影响相对较小。 |
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| 关键词： 棉花；期现货市场；价格；关联性；溢出效应 |
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On spillover effects and correlation between domestic and international cotton futures market: A comparative analysis under different policy backgrounds |
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DING Cunzhen, XIAO Haifeng |
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（College of Economics and Management, China Agricultural University, Beijing 100083, China） |
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| Abstract: This paper, by adopting daily price data of domestic and international cotton spot and futures markets from January 2008—March 2017, and by employing BEKK-GARCH model and DCC-GARCH model, analyzes the correlation and spillover effects between domestic and international cotton markets under different policy backgrounds. Results show that there is significant price guidance relationship between domestic and international cotton futures markets, but with differences at different periods, that the correlation between domestic cotton spot market and the other cotton markets is low while the correlation between domestic cotton futures market and the international cotton futures market and the correlation between the international cotton spot market and the international cotton futures market are high, and that the implementation of the temporary storage policy has less impact on mean spillover effect between domestic and international cotton market, but has a greater impact on volatility spillover effect between domestic and international cotton market, and can also reduce the degree of correlation between the domestic cotton market and international cotton market. Results also show that, compared with the temporary storage policy, the target price policy has a relatively small impact on the domestic and international cotton market price spillovers and correlation. |
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Key words: cotton; futures market; price; correlation; spillover effec |
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