国内外油脂期货市场溢出效应及信息传导关系

采用多元 VAR（1）-GARCH（1，1）-BEKK 模型研究了中国的棕榈油、豆油和菜籽油以及美国豆油、加拿大油菜籽五个期货市场之间的收益和波动溢出效应，进而通过协整检验和误差修正模型分析了市场间的信息传导关系。研究发现：美国豆油和加拿大油菜籽对中国三个油脂期货市场均有单向的收益溢出，中国的三大油脂期货表现为豆油对棕榈油、棕榈油对菜籽油存在单向的收益溢出；除了中国的豆油、棕榈油对菜籽油期货市场存在单向的波动溢出外，其他市场间均存在双向的波动溢出效应；五个市场间存在稳定的协整关系并具有相同的信息传导效率。上述研究结果表明美国芝加哥豆油期货市场和加拿大油菜籽期货市场分别是世界豆油和菜籽油的定价中心，大连期货市场是国内的油脂产品定价中心。

Research on Spillover Effect and Information Transmission within Oil Futures Markets at Home and Abroad

This study measures the returns and volatility spillover effects in China＇s palm,soybean and rapeseed oil futures markets and American soybean oil future market and Canadian canola future market by using VAR（1 ）-GARCH（1,1 ）-BEKK models.Furthermore,co-integration test and error correction model are applied to analyze the information transmission within oil futures markets.The results reveal that there is an unidirectional returns spillover effect from American soybean oil future market and Cana-dian canola future market to the three oil futures markets of China;as for China＇s three oil futures mar-kets,returns spillover effects from soybean oil to palm oil and from palm oil to rapeseed oil have been found;there are bidirectional volatility spillover effects among all the markets except for the effect from China＇s soybean,palm oil markets to rapeseed oil futures market,which is one-way;All markets share a stable co-integration relationship and have the same information transmission efficiency.In conclusion, the main finding of this study is that Chicago soybean oil futures market and Canadian canola futures mar-ket function as world＇s soybean oil and rapeseed oil pricing center respectively while Dalian futures mar-ket is the pricing center of China＇s domestic oil product.