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本文以大豆、玉米和小麦为研究对象分析了国内外粮食期货的波动特征、关联性和传导机制。研究表明国内外粮食期货价格波动均具有波动聚类、非对称和长记忆特征,但显著程度存在差别;其传导机制以价格波动幅度较大的国外期货市场向国内市场的单向传导为主要途径,以开放程度和关联程度较高的大豆市场为传导主线,并通过国内大豆和小麦期货市场向国外大豆期货市场进行微弱反馈。
In this paper, soybean, maize and wheat as the research object to analyze the volatility characteristics of domestic and foreign food futures, relevance and transmission mechanism. The research shows that the volatility of food futures both at home and abroad has fluctuating clustering, asymmetric and long-memory characteristics, but there are significant differences; the conduction mechanism mainly focuses on the one-way transmission from the foreign futures market to the domestic market , With a more open and highly correlated soybean market as the main line of transmission and a weak feedback to foreign soybean futures markets through the domestic soybean and wheat futures markets.