基于动态模型平均的大豆期货市场风险溢出研究

doi:10.16381/j.cnki.issn1003-207x.2022.2789

Abstract

Abstract:

It is of great significance to study the risk spillover effect between soybean futures markets in China and the United States under extreme circumstances. A dynamic model based on the average method and the method of the bureau of digit conditional value at risk are combined to study. The risk spillover effects of Chinese soybean futures market influenced by policy and economic environment change is studied. And it analyses the risk spillover effects influenced by spot market， downstream products of soybean， macro-economic variables， international market trading， etc. It is found that different policies and economic environments affected the soybean futures market risk spillover effects in different ways， such as reserve policy stability of China’s soybean futures price fluctuations， the night trading system to increase the interaction of the agricultural product futures market of China and the United States to increase the degree of impact on the domestic market in the international market. At the same time， the study shows that each control variable has a different contribution to the change in the risk spillover effect of the Chinese and American agricultural futures markets in different periods. For example， soybean oil futures price and WTI crude oil price have a great influence on the risk spillover effect in the early stage of the night trading system. The impact of shipping indices， exchange rates and WTI crude oil prices was at a low level during the COVID-19 pandemic.

Key words: soybean futures? risk spillover? CoVaR? dynamic model averaging

CLC Number:

F830

Wu-yi YE,Ai-lin LI,Shou-kun JIAO. Risk Spillover of Soybean Futures Market Based on Dynamic Model Averaging[J]. Chinese Journal of Management Science, 2023, 31(12): 1-10.

Figures/Tables 4

References 38

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变量类型	变量名称	峰度	偏度	ADF检验	p值
被解释变量	豆一期货收收盘价	11. 09	0. 73	-47. 41	<0. 001
解释变量	CBOT 大豆期货收盘价	20. 72	-1. 39	-51. 36	<0. 001
外生变量	大豆现货平均价	60. 06	1. 17	-46. 61	<0. 001
	豆油期货价	6. 85	-0. 32	-48. 51	<0. 001
	WTI 原油价格	105. 75	-2. 92	-54. 32	<0. 001
	美国兑人民币汇率	11. 78	0. 21	-47. 47	<0. 001
	波罗的海指数	11. 90	0. 51	-24. 82	<0. 001

变量	全样本	期货发展阶段	夜盘交易制度初期	汇改初期	贸易摩擦初期	新冠疫情
大豆现货价格	0.48	0.62	0.38	0.52	0.48	0.43
豆油期货价格	0.69	0.58	0.85	0.71	0.63	0.72
WTI原油价格	0.52	0.57	0.54	0.59	0.65	0.48
美元兑人民币汇率	0.41	0.44	0.31	0.45	0.47	0.41
航运指数	0.48	0.50	0.45	0.40	0.55	0.40

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Risk Spillover of Soybean Futures Market Based on Dynamic Model Averaging

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