中美豆粕期货市场风险溢出效应分析_王一林.docx
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1、浙江财经大学硕士研究生学位论文厢创性声明本人郑重声明;此处所提交的硕士学位论文是本人在导师指导下,在浙江财经大学攻读硕士学 位期间独立进行研究所取得的成果。据本人所知,论文中除己注明部分外,不包含 他人已发表或撰写过的研究成果,对本文的研究工作做出重要贡献的个人和集体均 己注明。本声明的法律结果将完全由本人承担。作者签名:曰期:年|月曰浙江财经大学硕士研究生学位论文使用授权书本论文系本人在浙江财经大学攻读硕士学位期间在导师指导下完成的硕士学位 论文。本论文的研究成果归浙江财经大学所有,本论文的研究内容不得以其他单位 的名义发表。本人完全了解浙江财经大学关于保存、使用学位论文的规定,同意学 校保
2、留并向有关部门送交论文的复印件和电子版本,允许论文被杳阅和借阅4本人 授权浙江财经大学,可以采用影印、缩印或其他复制手段保存论文,可以公布论文 的全部或部分内容。作者签名:曰期:年/月?曰经审査.确认该论文己符合浙江财经大学硕士学位论文的要求。导师签名曰期年/月?曰硕士学位论文中美豆粕期货市场风险溢出效应分析2014年12月4MASTER DISSERTATIONAnalysis of soybean futures market risk spillover effect between China and USDecember 20145在全球化市场大氛围下,不同国家金融市场间的联动性越来
3、越强,随着国内期 货市场的逐步规范,我国农产品期货市场日益成熟,大连商品交易所(DCE)的 豆柏市场也成为国内饲料加工企业和油脂企业重要的套期保值工具。最近几年,我国大豆每年产量维持1600万吨上下,消费量有5000多万吨,进口达到4000万吨, 对外依赖度达到80%。我国进口大豆都是转基因大豆,全部用来压榨豆油和豆粕, 国产大豆只有一半用来压榨,从我国大豆压榨原料来说,进口大豆占非常大的比 例,接近90%。给研究大连商品交易所与芝加哥商品交易所两市豆粕市场间的风险 溢出效应提供了一个契机。(注:以上数据均来自中国饲料行业信息网 www. feedtrade. com. cn/)由于我国大豆上
4、市品种为豆一、豆二,豆一为国产大豆,成交活跃的是豆一, 国产大豆在我国大豆总的消费中占比不到30%,因而豆一期货品种现货参与基础并 不广泛。相反,我国豆柏年消费量高达3000多万吨,消费流通地区相对广泛,大 连豆粕期货市场成交量极其活跃,主力合约持仓始终保持百万手以上,属于农产 品期货中明星品种。(注:以上数据均来自中国饲料行业信息网 www. feedtrade. com. cn/)国内大连商品交易所(DCE)豆粕与芝加哥商品交易所(CBOT)的豆粕市场 之间的关联性也越来越强。故可供研究分析大连期货交易所与芝加哥商品交易所 两市豆粕期货间的风险溢出效应。从以上背景介绍及前人研究的成果出发,
5、文章大体上先估算2006年至2013 年八年间CBOT和DCE两市豆粕期货的风险价值(VaR),分析两市VaR值的相 关性,然后通过VAR值分析两市风险溢出效应。本文的结构安排:第一章为前言, 先介绍论文研究的背景与选题意义,然后介绍研究的思路和结构安排,并指出文 章所用研究工具以及创新点。第二章系统阐述了国内外有关研究文献。第三章则 先简要介绍影响豆粕期货市场的供求因素,其次介绍豆粕期货市场风险度量方法 以及数据上的选择处理。第四章则主要对CBOT和DCE豆粕期货市场的关联度进 行检验,首先建立GARCH模型检验,计算两市场VaR值以及检验风险值之间的 相关性。第五章主要通过Granger因
6、果关系检验法和脉冲响应分析法进行实证分析 两市豆粕期货风险溢出效应。第六章对论文的研究内容做总结,指出论文研究的 不足之处和可能的研究方向。论文结合样本期在金融危机前后的不同表现,将研究时期划分成两个子样本区 间,研究分析两市豆粕市场间风险溢出效应。从实证果得知:在总样本区间内, CBOT与DCE两市豆粕期货多空头市场互为风险Granger原因。在全球性金融危机发生前后的两个子样本区间,C.BOT豆柏多空头市场风险则单向是DCE豆柏多 空头市场风险Granger原因。脉冲响应分析显示,各子样本及总样本区间内,两市 场面对彼此的风险冲击中,CBOT豆柏期货市场对于DC.E豆粕市场大都呈稳定先 增
7、后减的正向冲击反应。DCE豆粕期货市场面对CBOT豆粕期货市场风险冲击时 短期内出现了短暂的剧烈不稳定溢出效应。而在面对各自自身市场风险冲击中, 主要也都呈正向递减冲击反应。本文主要研究创新点表现在:豆粕作为国际性大宗农产品,是国内外饲料业, 畜牧业的重要需求品,中国每年进口数量巨大,但是对于中美豆粕市场关系的研 究文献相对较少;本文之前的研究大多涵盖了中外农产品市场的研究,并没有深 入具体到两个细分市场,同时也未将次贷危机的影响考虑进去;此前,很多文献 仅根据价格以及收益率数据来研究市场间的风险关联性,本文则采用两市的VaR 值进行期货市场风险关系研究。关键词:风险&出;显柏市场;风险价值(
8、VaR); Granger因果关系检验7ABSTRACTIn the atmosphere of global market, the financial markets linkage between different countries is much stronger than ever before, with the gradual standardization of domestic futures market, Chinas agricultural product futures market is increasingly achieving mature, Soybe
9、an meal market of Dalian Commodity Exchange(DCE) has also become an important hedging tool of the domestic feed processing enterprises and oil enterprises. In recent years, Chinas annual soybean output is about 16 million tons, but the annual consumption is about 50 million tons per year .China need
10、 to import nearly 40 million tons of soybeans, the foreign dependency rate has reached 75%. Chinas soybean imports is genetically modified soybean, soybean oil and meal are used to crush, half of domestic soybean is used to squeeze, from our raw material of soybeans squeezing, soybean imports accoun
11、ted for a big proportion, close to 90%. The upper content provides an opportunity to study the Risk Spillover Effect between soybean meal market of Dalian Commodity Exchange and Chicago Commodity . (Note: the above data is from China Feed Industry Information Network, www. feedtrade. com. cn/)Becaus
12、e Chinas soybean futures varieties consist of soy one and soy two, and soy one is domestic soybean whose volume is active, However , it accounts for less than 30 percent of consumption of Chinas total soybean, thus less enterprises participate in the soy one futures and it is not widespread. In cont
13、rast, the annual consumption of soybean meals is up to more than 3000 tons , which is distributed in relatively widespread circulation area, Dalian soybean futures markets turnover is extremely active, the main contract positions remain more than a million hands, belonging to agricultural futures st
14、ar species. (Note: The above data is from the China Feed Industry Information Network ,www. feedtrade. soybean future market of Dalian commodity Exchange (DCE) and Chicago Commodity Exchange (CBOT) own the relationship which is stronger, providing an opportunity of research on the Dalian futures wi
15、th Chicago Commodity Exchange regarding of the risk spillover effect.This paper is based on the above background and the results of previous studies. Firstly, estimating the confidence level of risk (VaR) in two soybeans three8common value with the EGARCH model ,and analizing the correlation between
16、 two citys Var and then analyzing two citys risk spillover effect in two VaR value. Therefore, this paper is organized as follows: the first chapter is the introduction part. Firstly introduce the background and significance of the research, and the major research ideas and structure of the thesis a
17、re arranged as introduced, The second chapter systematically summarize the search literature at home and abroad. The third chapter briefly introduces the supply and demand factors of soybean meal futures market, followed by the introduction of soybean futures markets risk measurement method and data
18、 on the choice of treatment In the fourth chapter,firstly inspecting the association of CBOT with the DCE soybean futures market of inspection, mainly taking the GARCH model for the correlation between estimated two city based VaR value for testing, including the establishment of GARCH model , rekon
19、 of two citys Var and inspection of risk value revalance between two city. The main contents of the fifth chapter is the empirical analysis of soybean futures risk spillover effect of CBOT and DCE. and the impulse response analysismethod and the method of Granger causality test. Theresearch contents
20、 of the sixth chapter do simple summary, and further pointing out the deficiencies of the thesis, the research direction of follow-up may be.The thesis combines different status before and after the sample periods of the financial crisis, give the discussion of soybean meal Market risk spill over ef
21、fect in the empirical analysis. The empirical results express that:during the entire study samples, soybean meal of CBOT and DCE have two bear market mutual risk Granger reason, but before and after the global financial crisis, CBOT soybean meals market risk is a one-way of DCE soybean meal market r
22、isks Granger reason. Impulse response analysis shows that in the sample and the total sample interval, when two city face each other in the market risk shocks, CBOT soybean futures market is positive impulse response stability and firstly increasing then decreasing for DCE soybean market. DCE soybea
23、n futures market shocks in the short term appearing short-lived severe unstable spillover effect in the face of CBOT soybean futures market risk .In this paper, the main research innovations are : soybean meal is the staple agricultural product and the domestic feed industry in the world, meanwhile
24、, its an important demand of animal husbandry, China imports large quantity of soybean meal per year, but the quantity of research literature regarding the relation of soybean meal9market between China and US is relatively less; the previous studies mainly coverd the study of the agricultural produc
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