文章摘要
国际与国内棉花价格的非线性空间传导研究
Nonlinear spatial cotton price transmission between international and domestic markets
投稿时间:2018-10-30  最后修改时间:2019-03-30
DOI:10.13872/j.1000-0275.2019.0029
中文关键词: 棉花  价格波动  非线性  MSVAR模型  空间传导
英文关键词: cotton  price fluctuations  nonlinear  MSVAR model  spatial transmission
基金项目:新疆兵团重大科技项目(2016AA001-4)
作者单位E-mail
何韶华 石河子大学经济与管理学院棉花经济研究中心 hshpaper@sina.com 
王力 石河子大学 wl2745@shzu.edu.cn 
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中文摘要:
      随着国内棉花市场开放程度增加,国内外棉花价格联动性增强,明晰国内外棉花价格传递机制尤为重要。采用2007年4月6日至2018年7月6日的周数据,运用MSIH(3)-VAR(P)模型和脉冲响应分析中国棉花期现货市场、国际期货市场之间的相互影响以及非线性空间传导关系。实证结果表明,国际棉花期货市场、中国棉花期现货市场价格波动存在三区制的非线性传导效应,需要重视棉花补贴政策对市场产生分区带来的影响。中国棉花期现货市场对国际棉花市场波动的响应相对较弱,存在削弱影响的因素,而且受国际棉花期货市场价格的引导;中国棉花期货市场对现货市场的价格有更强的响应,现货市场价格识别期货价格信息能力相对较弱,但趋向于引领期货市场的价格,中国棉花的期货市场仍有待进一步的开发与完善。这些研究结论与构建的非线性分析棉花价格波动模型,可以为政策制定者和棉花产业相关利益群体提供决策参考。
英文摘要:
      With the increasing opening-up of the domestic cotton market, the cotton price linkage between domestic market and international market has increased. It is particularly important to clarify the mechanism of cotton price transmission between domestic market and international market. Based on the weekly data from April 6, 2007 to July 6, 2018, this paper applied the MSIH (3)-VAR (P) model and impulse response to analyze the interaction and nonlinear spatial transmission in China’s futures market, China’s spot market and international futures market. Empirical results show that: 1) the fluctuation of international cotton futures and China’s cotton futures and China’s spot market price display some three-regime nonlinear transmission features; 2) China’s cotton spot market responds relatively weakly to international cotton market under the influences of some weakening factors and is guided by international futures price; and 3) China’s cotton futures market has a stronger response to China’s spot market price changes and China’s spot market has a relatively weaker ability to identify futures prices, but it tends to lead cotton futures price. In addition, China’s cotton futures market still needs further development and improvement. These findings and the nonlinear model for analyzing cotton price volatility provide some reference for the policy makers and those relevant stakeholders in the cotton industry.
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