【摘要】：文章選取2009年1月至2017年2月的中國(guó)月度數(shù)據(jù),考慮到變量間關(guān)系可能存在結(jié)構(gòu)突變,從非線性角度構(gòu)建MSVAR-Full BEKK-GARCH模型對(duì)中國(guó)玉米現(xiàn)貨價(jià)格、期貨價(jià)格和投資者情緒間的均值溢出和波動(dòng)溢出效應(yīng)進(jìn)行了實(shí)證檢驗(yàn)。研究發(fā)現(xiàn):(1)中國(guó)玉米現(xiàn)貨價(jià)格、期貨價(jià)格和投資者情緒間存在顯著的非線性關(guān)系;(2)存在玉米現(xiàn)貨價(jià)格和期貨價(jià)格、玉米現(xiàn)貨價(jià)格和投資者情緒間的雙向以及玉米期貨價(jià)格對(duì)投資者情緒的單向均值溢出效應(yīng);(3)玉米現(xiàn)貨價(jià)格、期貨價(jià)格和投資者情緒自身均具有顯著的波動(dòng)集聚性,且變量間存在兩兩雙向波動(dòng)溢出效應(yīng)。最后,根據(jù)本文結(jié)論就穩(wěn)定玉米價(jià)格提出了相關(guān)對(duì)策和建議。
[Abstract]:Based on the monthly data of China from January 2009 to February 2017, considering the possible structural changes in the relationship between variables, this paper constructs a MSVAR-Full BEKK-GARCH model for the spot price of corn in China from a nonlinear perspective. The average spillover and volatility spillover effects between futures price and investor sentiment are tested empirically. The results show that: (1) there is a significant nonlinear relationship between spot price, futures price and investor sentiment in China; (2) there exists spot price and futures price in corn. The two-way effect between spot price and investor sentiment and the one-way mean spillover effect of corn futures price on investor sentiment. (3) the corn spot price, futures price and investor sentiment have significant volatility and agglomeration. And there is a bidirectional volatility spillover effect between variables. Finally, according to the conclusion of this paper, the relative countermeasures and suggestions are put forward to stabilize the corn price.
【作者單位】： 太原理工大學(xué)經(jīng)濟(jì)管理學(xué)院;
【基金】：國(guó)家軟科學(xué)基金項(xiàng)目(編號(hào):2014GXQ4D177)
【分類號(hào)】：F323.7;F724.5
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本文編號(hào)：2274842