Analysis Of Bubble Measurement And Influencing Factors Of My Country's Agricultural Futures Market

Since the 21 st century,under the background of excess liquidity,a large amount of capital has flowed into the commodity market.Because of the long production cycle and the susceptibility of the weather to agricultural products,it has become the target of various funds.When a large amount of capital enters and exits frequently in the agricultural product futures market,it increases the uncertainty of price fluctuations,and sometimes even exhibits the characteristics of skyrocketing and plunging in the short term,which makes the price severely deviate from the fundamentals and a price bubble appears.The emergence of price bubbles often poses great risks to the operation of related industries and market transactions.This paper introduces the GSADF method proposed by Phillips(2015)to conduct bubble detection on the price series of eight representative agricultural product futures in my country,and the results show that there are bubbles of varying degrees in the eight agricultural products during the sample period.Based on the detection results,three indicators,foam length,foam frequency and foam strength,are constructed to comprehensively evaluate and characterize the historical risks of my country's agricultural product futures,and the eight agricultural products are classified into high,medium and low risk levels.Based on this,this article believes that it is necessary to further improve the supervision system of the agricultural product market in accordance with the principle of "leveled monitoring and key prevention",and carry out key monitoring and prevention of high-risk varieties to ensure the healthy and stable operation of my country's agricultural product futures market.In addition,the article further builds a “comprehensive bubble indicator” and zeroinflation Poisson attribution analysis model for the agricultural product futures market,measures the overall bubble level and distribution characteristics of the agricultural product futures market from 2006 to 2018,and analyzes stock price indexes,money supply,crude oil prices,The impact of inflation and exchange rate on the bubble of agricultural futures market.The results of the study found that:(1)The overall bubble of the agricultural product futures market was controllable,and the severe bubble phenomenon occurred in 2008-2011 and 2016;(2)During the agricultural product bubble,the stock market and the agricultural product futures market appeared in terms of trading volume and activity.The phenomenon of increase and decrease is out of stock.The bubble of agricultural product futures generally occurs in the period of stock price decline or downturn.Financial funds have a rotating relationship between the two cities;(3)Money supply and inflation have a positive impact on the "comprehensive bubble indicator".The impact of exchange rate is not significant,and crude oil prices have a negative impact;(4)Various influencing factors have asymmetric characteristics on the formation mechanism of agricultural product price bubbles,among which inflation and money supply have the greatest impact on agricultural product price bubbles.