粮食期货与现货市场价格波动溢出效应

以小麦、稻谷、玉米和大豆为例，选取2009—2016年的相关日度价格数据，运用BEKK-GARCH模型考察了我国粮食期货与现货市场间的价格波动溢出效应。结果显示：我国粮食期货与现货市场之间存在价格波动溢出效应，但溢出程度在不同粮食品种之间有差异。主粮作物小麦、稻谷和玉米期货对现货价格的溢出效应较弱，非主粮作物大豆期货对现货价格的溢出效应较强，四个粮食品种现货对期货价格的溢出效应均较弱。分析表明：由于我国在调控粮食市场的思路和力度上对于主粮作物与非主粮作物存在较大差别，从而造成了四个粮食品种期货与现货市场间价格波动溢出效应的差异。

Price Volatility Spillovers Effect Between Futures and Spot Grain Market in China

Using wheat, rice, corn and soybean as examples, this paper selects daily price data from years 2009 to 2016, and uses BEKK-GARCH model to investigate the price volatility spillover effect between futures and spot market in China. The results show that there is volatility spillover effect between the futures and spot price on grain and the degree of the effect varies from grain varieties. There are weaker price spillover effect from futures to spot market for staple food wheat, rice and corn, stronger price spillover effect from futures to spot market for non-staple food soybean, and the price spillover effect from spot to futures market for all the four kinds of crops are not obvious. In-depth analysis shows that there is a big difference for staple and non-staple food on the ideas and efforts in the regulation of the grain market in China, resulting in the difference of price volatility spillover effect between the futures and spot market for all the four kinds of crops.