极端事件冲击下立足国家粮食安全视角的四大粮食期货市场分析
Research on the Four Agricultural Commodity Futures Markets Based on National Food Security under the Impact of Extreme Events
杨杰 1冯芸 1杨豪2
作者信息
- 1. 上海交通大学安泰经济与管理学院
- 2. 中国科学院大学经济与管理学院
- 折叠
摘要
通过多重分形理论,探究国内外小麦、稻谷、玉米和大豆四大粮食期货市场价格的运行特征和相关性特征.研究表明:尽管从2020年起国内外各粮食期货的价格整体都趋于上涨,但国内外价格的内在运行机制存在着显著的差异;2020年之后国际4种粮食期货的多重分形特征都有着或多或少的增强,而国内市场的多重分形强度均大幅度减弱;国内外市场间交叉相关性的多重分形强度也都有所降低,但由于我国大豆仍存在着较大的进口依赖风险,大豆的降低幅度较小;国内外市场间相关性的复杂程度降低,交叉市场风险减少,可有效降低风险预警和决策的成本.
Abstract
Based on the multifractal theory,this study explores the operation characteristics and cross-correlation characteristics of the four agricultural commodity futures prices for wheat,rice,corn and soybean at home and abroad.The results show that although the international and domestic agri-cultural commodity futures prices have all risen since 2020,there are significant differences in the in-ternal operation mechanism of domestic and foreign market prices;Since 2020,the multifractal char-acteristics of the four international grain futures have been enhanced more or less,while the multifrac-tal strength of the domestic market has been significantly weakened;The multifractal strength of cross-correlation between domestic and foreign markets has also decreased,but the decrease of soy-bean is slight due to the still high import dependence;The complexity of cross-correlation between do-mestic and foreign markets has decreased,and the cross-market risk has reduced,which can effective-ly reduce the cost of risk early warning and decision-making.
关键词
新冠疫情/俄乌战争/粮食安全/农产品期货/多重分形分析Key words
COVID-19 pandemic/Russia-Ukraine war/food security/agricultural commodity futures/multifractal analysis引用本文复制引用
基金项目
国家社会科学基金资助重点项目(22AZD133)
国家自然科学基金资助项目(72273090)
出版年
2024
NETL
NSTL
万方数据