| Agricultural products play an important role in human life and are the most basic food source for human survival.The stability of the prices of agricultural products is one of the basic conditions for the rapid economic development of the country.China,as a populous country,has the highest demand and transaction volume of agricultural products in the world.With the development of China’s financial system in the past 20 years,the degree of financialization of agricultural products has become deeper and deeper.Under such conditions,agricultural futures have been rapidly developed.Due to its openness,fairness and high efficiency,its authenticity,expectancy,continuity and authoritativeness,the futures market can accurately predict future product price trends and play an increasingly important role in the trading of agricultural products.This article will choose the recent three years day transaction price of soybeans,corn in Dalian Commodity Exchange and high-quality gluten wheat,cotton in Zhengzhou Commodity Exchange to establish the BEKK and DCC model for agricultural futures price volatility spillover and dynamic.The correlation study concluded that: 1.There is no fluctuation between beans and wheat,and both beans and cotton,wheat and cotton have a two-way volatility spillover effect.The DCC model shows that the residuals of the agricultural futures price data have an impact on the dynamic correlation,but the dynamic correlation is not persistent.The dynamic correlation between soybean and cotton was the highest,and there was a positive correlation between soybean and wheat.There was little dynamic correlation between soybean and wheat,and cotton and wheat had almost no dynamic correlation.By analyzing the causes of such a result,we put forward some relevant policy suggestions: 1.To improve and perfect the legal system;2.To strengthen the price management;3.To reduce the cost of agricultural products;4.To improve the right of speech in the international market... |
PDF Full Text Request