【摘要】：隨著經(jīng)濟(jì)總量不斷增長(zhǎng),我國(guó)居民生活質(zhì)量逐步提升,膳食結(jié)構(gòu)得到顯著改善,我國(guó)對(duì)大豆產(chǎn)品的需求與日俱增,并且對(duì)全球大豆市場(chǎng)具有較強(qiáng)的依賴性。大豆產(chǎn)品價(jià)格的劇烈波動(dòng)直接影響我國(guó)油脂加工企業(yè)的生產(chǎn)經(jīng)營(yíng),進(jìn)而將價(jià)格風(fēng)險(xiǎn)轉(zhuǎn)嫁給消費(fèi)者,最終使國(guó)民經(jīng)濟(jì)遭受巨大損失。企業(yè)通過(guò)套期保值交易可鎖定生產(chǎn)成本,實(shí)現(xiàn)預(yù)期收益,并利用期貨價(jià)格信號(hào)安排生產(chǎn)經(jīng)營(yíng)活動(dòng),進(jìn)而規(guī)避因價(jià)格劇烈波動(dòng)帶來(lái)的市場(chǎng)風(fēng)險(xiǎn)。本文運(yùn)用誤差修正模型和BEKK-GARCH模型對(duì)我國(guó)大豆產(chǎn)品2007年-2015年期貨與現(xiàn)貨市場(chǎng)的價(jià)格傳導(dǎo)和波動(dòng)溢出進(jìn)行了實(shí)證研究,分析價(jià)格的傳導(dǎo)方向、傳導(dǎo)路徑和波動(dòng)傳導(dǎo)的強(qiáng)度,理清期貨價(jià)格與現(xiàn)貨價(jià)格在均值和方差層面的傳導(dǎo)關(guān)系,對(duì)緩解大豆產(chǎn)品因價(jià)格劇烈波動(dòng)帶來(lái)的損失、規(guī)避市場(chǎng)潛在風(fēng)險(xiǎn)、完善農(nóng)產(chǎn)品市場(chǎng)體系建設(shè)具有一定的理論和現(xiàn)實(shí)意義。本文主要研究?jī)?nèi)容及結(jié)論如下:(一)大豆產(chǎn)品期貨與現(xiàn)貨價(jià)格走勢(shì)與特征分析。通過(guò)對(duì)大豆、豆油、豆粕2007年-2015年日度價(jià)格匯總整理發(fā)現(xiàn),大豆產(chǎn)品期貨與現(xiàn)貨價(jià)格具有共趨勢(shì)特征和階段性特征。價(jià)格階段性特征分為劇烈波動(dòng)期、波動(dòng)上升期和波動(dòng)下行期,并且2008年黃大豆1號(hào)和2012年豆粕的成交量和成交額均為九年間最高,較直觀的反映了2008年金融危機(jī)和2012年美國(guó)遭遇嚴(yán)重干旱給大豆產(chǎn)品的價(jià)格走勢(shì)帶來(lái)的劇烈影響。(二)大豆產(chǎn)品期貨與現(xiàn)貨市場(chǎng)的價(jià)格傳導(dǎo)和波動(dòng)溢出的實(shí)證分析。首先,通過(guò)建立誤差修正模型分析大豆產(chǎn)品2007年-2015年期貨與現(xiàn)貨價(jià)格基于均值的長(zhǎng)期均衡關(guān)系和短期調(diào)整關(guān)系,大豆產(chǎn)品期貨與現(xiàn)貨市場(chǎng)的價(jià)格具有傳導(dǎo)關(guān)系,并且期貨價(jià)格占主導(dǎo)作用,豆油是大豆產(chǎn)品中短期價(jià)格調(diào)整速度最快的品種。其次,在傳導(dǎo)方向上,期貨與現(xiàn)貨價(jià)格存在雙向的傳導(dǎo)關(guān)系;在傳導(dǎo)路徑上,運(yùn)用脈沖響應(yīng)分析發(fā)現(xiàn)隨著期數(shù)的推移,大豆和豆粕的價(jià)格傳導(dǎo)路徑逐漸發(fā)生變化,現(xiàn)貨大豆優(yōu)于期貨大豆對(duì)市場(chǎng)的影響,期貨豆粕優(yōu)于現(xiàn)貨豆粕對(duì)市場(chǎng)的影響;在價(jià)格傳導(dǎo)的影響因素及其貢獻(xiàn)份額上,豆油和豆粕的現(xiàn)貨價(jià)格在初期除受到自身市場(chǎng)影響外,大豆期貨與現(xiàn)貨價(jià)格對(duì)其影響也較為顯著,說(shuō)明穩(wěn)定大豆價(jià)格是確保大豆產(chǎn)品市場(chǎng)合理發(fā)展的根源性問(wèn)題。最后,運(yùn)用BEKK-GARCH模型探討了期貨價(jià)格與現(xiàn)貨價(jià)格的波動(dòng)傳導(dǎo)具有雙向性,價(jià)格波動(dòng)主要受到自身市場(chǎng)的前期波動(dòng)情況影響,豆粕期貨價(jià)格波動(dòng)引導(dǎo)豆粕現(xiàn)貨價(jià)格占主要因素,具有一定的非對(duì)稱性。(三)大豆產(chǎn)品期貨與現(xiàn)貨市場(chǎng)價(jià)格傳導(dǎo)關(guān)系的分時(shí)段比較分析。根據(jù)大豆產(chǎn)品不同的價(jià)格走勢(shì)分別對(duì)2007年-2009年、2010年-2012年、2013年-2015年期貨與現(xiàn)貨價(jià)格的傳導(dǎo)關(guān)系進(jìn)行動(dòng)態(tài)分析。結(jié)果表明,劇烈波動(dòng)期對(duì)整段時(shí)期的價(jià)格傳導(dǎo)影響持久并且強(qiáng)烈。在雙向波動(dòng)溢出的前提下,豆油和豆粕市場(chǎng)在不同價(jià)格走勢(shì)階段分別由期貨價(jià)格和現(xiàn)貨價(jià)格交替主導(dǎo)市場(chǎng)的價(jià)格波動(dòng),大豆市場(chǎng)多數(shù)情況下無(wú)明顯的價(jià)格波動(dòng)主導(dǎo)市場(chǎng)。本文的創(chuàng)新點(diǎn)主要分為兩個(gè)方面:第一,現(xiàn)有文獻(xiàn)主要研究單一產(chǎn)品期貨與現(xiàn)貨價(jià)格的傳導(dǎo)關(guān)系,本文突破單一產(chǎn)品考察的局限性,綜合考察產(chǎn)業(yè)鏈上下游的關(guān)聯(lián)產(chǎn)品大豆、豆油、豆粕期貨與現(xiàn)貨市場(chǎng)價(jià)格傳導(dǎo)方向、傳導(dǎo)路徑和波動(dòng)傳導(dǎo)強(qiáng)度等問(wèn)題。第二,通過(guò)價(jià)格走勢(shì)特征分析,本文將劇烈波動(dòng)期、波動(dòng)上升期和波動(dòng)下行期分別引入期貨與現(xiàn)貨價(jià)格傳導(dǎo)關(guān)系的研究,在此基礎(chǔ)上,比較分析全樣本區(qū)間與分時(shí)段樣本區(qū)間的研究結(jié)論,考察價(jià)格走勢(shì)對(duì)價(jià)格傳導(dǎo)關(guān)系的影響。
[Abstract]:With the continuous growth of economic aggregate, the quality of life of Chinese residents has been gradually improved, and the dietary structure has been significantly improved. The demand for soybean products in China is increasing day by day, and it has a strong dependence on the global soybean market. Enterprises can lock in production costs through hedging transactions, achieve expected returns, and use futures price signals to arrange production and operation activities, thereby avoiding the market risks caused by sharp price fluctuations. This paper uses error correction model and BEKK-GARCH model to China. The price conduction and volatility spillover of soybean products in futures and spot markets from 2007 to 2015 were empirically studied. The conduction direction, conduction path and volatility intensity of the price were analyzed. The conduction relationship between futures and spot prices at the mean and variance levels was clarified, which could alleviate the losses caused by sharp price fluctuations of soybean products. The main contents and conclusions of this paper are as follows: (1) Analysis of the trend and characteristics of soybean futures and spot prices. The price characteristics are divided into violent fluctuation period, fluctuation rising period and fluctuation descending period, and the turnover and turnover of soybean meal in 2008 and 2012 are the highest in nine years, which reflects the 2008 financial crisis and the severe drought in 2012. (2) Empirical analysis of price conduction and volatility spillover between soybean futures and spot markets. Firstly, an error correction model is established to analyze the long-term equilibrium relationship and short-term adjustment relationship between futures and spot prices of soybean products in 2007-2015 based on mean, and soybean products futures and spot markets. Soybean oil is the fastest variety of short-term price adjustment in soybean products. Secondly, there is a bidirectional transmission relationship between futures and spot prices in the direction of transmission. On the transmission path, the impulse response analysis shows that the price of soybean and soybean meal increases with the duration of the period. The transmission path changes gradually, spot soybean is better than futures soybean on the impact of the market, futures soybean meal is better than spot soybean meal on the impact of the market; in the price transmission factors and its contribution share, the spot price of soybean oil and soybean meal in the initial period, in addition to their own market influence, soybean futures and spot prices on its impact is also more obvious. Finally, the BEKK-GARCH model is used to study the two-way transmission between the futures price and spot price. The price fluctuation is mainly affected by the early fluctuation of its own market. The fluctuation of soybean meal futures price leads to the spot price of soybean meal. (3) Time-lapse comparative analysis of the price conduction relationship between soybean futures and spot markets. According to the different price trends of soybean products, the conduction relationship between futures and spot prices in 2007-2009, 2010-2012, 2013-2015 was dynamically analyzed. Under the premise of two-way volatility spillover, soybean oil and soybean meal markets are dominated by futures prices and spot prices respectively in different price movements. In most cases, there is no obvious price volatility in soybean market. It can be divided into two aspects: firstly, the existing literature mainly studies the transmission relationship between single product futures and spot prices. This paper breaks through the limitations of single product inspection, comprehensively examines the related products of the upstream and downstream of the industrial chain, such as soybean, soybean oil, soybean meal futures and spot market price transmission direction, transmission path and volatility transmission intensity. Through the analysis of price trend characteristics, this paper introduces the violent fluctuation period, the rising period and the falling period into the study of the relationship between futures and spot prices respectively. On this basis, it compares and analyzes the research conclusion of the whole sample interval and the time-interval sample interval, and examines the influence of price trend on the price transmission relationship.
【學(xué)位授予單位】：華中農(nóng)業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F713.35;F313.7

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