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大豆的现货市场与期货市场之间的跳跃溢出现象时有发生,表现为大豆现货(期货)价格发生跳跃并在稍后的一段时间内引发另一个市场的价格发生跳跃。通过大豆现货与期货市场时间的跳跃溢出研究可以使我们更为深刻地理解两个市场之间的信息与风险传递。本文用基于MCMC算法的SVCJ模型,对我国大豆现货与期货价格的跳跃进行了估计,并分析了二者之间的跳跃溢出行为以及大豆期货市场在跳跃条件下的价格发现功能,并根据实证结果提出若干政策建议。
The spillover between soybeans’ spot and futures markets has taken place at times, as prices in soybeans (futures) have jumped and lead to a jump in the price of another market later on. The study of the leapfrogging of soybean spot and futures markets can give us a deeper understanding of the information and risk transfer between the two markets. In this paper, the SVCJ model based on the MCMC algorithm is used to estimate the jump of spot and futures prices of soybean in China, and the jumping spillovers between the two and the price discovery function of soybean futures market under the jumping condition are analyzed. According to the empirical results Made a number of policy recommendations.