当前位置: 首页 > 文章 > 我国鸡蛋现货价格与期货价格的动态关联性研究 中国家禽 2017,39 (3) 41-45
Position: Home > Articles > Study on the Dynamic Relation between Egg Spot Price and Futures Price in China China Poultry 2017,39 (3) 41-45

我国鸡蛋现货价格与期货价格的动态关联性研究

作  者:
李娟;赵一夫
单  位:
中国农业科学院农业经济与发展研究所
关键词:
期货价格;现货价格;动态关联性;贝叶斯DCC-GARCH模型
摘  要:
基于2013年11月8日至2016年10月11日我国鸡蛋现货价格和大连商品交易所(DCE)鸡蛋期货价格的日度数据,构建贝叶斯DCC-GARCH模型,对鸡蛋现货价格和期货价格之间的动态关联性进行了分析。结果发现:我国鸡蛋现货价格和期货价格的波动具有非对称性;鸡蛋现货价格和期货价格的波动衰减速度缓慢,前期波动对后期波动影响较大;我国鸡蛋现货价格和期货价格之间的动态关联性较小,鸡蛋期货市场的价格发现功能不明显。建议完善并促进鸡蛋期货市场的发展,进一步发挥鸡蛋期货市场规避风险的作用。
译  名:
Study on the Dynamic Relation between Egg Spot Price and Futures Price in China
作  者:
LI Juan;ZHAO Yifu;Institute of Agricultural Economics and Development,Chinese Academy of Agricultural Sciences;
关键词:
futures price;;spot price;;dynamic relation;;Bayesian DCC-GARCH model
摘  要:
This paper made Bayesian DCC-GARCH model,using the daily data of egg spot price and futures price of Dalian Commodity Exchange(DCE)from November 8, 2013 to October 11, 2016,to analyze the dynamic relation between egg spot and futures price in China. The results showed that price volatility of of egg spot and futures price in China was asymmetry;damping speed of price volatility of egg spot and futures price was slow,and the volatility in early stage had great impact on that in later stage;the dynamic relation between egg spot and futures price in China was weak,the price discovery function of egg futures market was not obvious. Therefore,it's suggested that the development of egg futures market should be promoted,and play the role of the egg futures market in risk aversion further.

相似文章

计量
文章访问数: 8
HTML全文浏览量: 0
PDF下载量: 0

所属期刊

推荐期刊