时变视角下中美农产品期货波动溢出效应实证

由于金融市场间价格波动溢出效应具有时变性和动态性的特点，采用双变量BEKK模型研究了国内外农产品期货市场间时变波动溢出关系，得出结论：农产品期货的波动均显著地受到自身前期波动的影响，波动具有聚集性和持久性；美国玉米期货与中国玉米期货不存在波动溢出效应，但是美国大豆期货与中国大豆期货、美国豆粕期货与中国豆粕期货之间均存在双向的波动溢出效应。因此，中国大豆期货和豆粕期货在世界农产品期货市场上具有一定的权力，即定价权。

Volatility Spillover Effect Study in Agricultural Futures Markets of China and USA Based on Time-varying Perspective

Taking into account time-varying and dynamic properties of volatility spillover effect in the financial mar- kets, this paper studied the time-varying volatility relationship between agriculture futures markets at home and abroad by the bivariate BEKK, and concluded that： The agricultural futures volatility is significantly affected by their own pre-fluctuations, with aggregation and lasting properties; There is no volatility effect between US corn futures and Chi- na corn futures markets. However, there are bi-directional volatility spillover between the US soybean futures and Chinese soybean futures, and US soybean meal futures and Chinese soybean meal futures. Chinese soybean futures and soybean meal futures have pricing power in the world agricultural product futures market.