Research On Spillover Effect Of China's Wheat Futures And Spot Market

China is a major wheat producer and consumer in the world,and wheat production and consumption occupies a pivotal position in economic society and people's lives.Wheat production has cyclical and seasonal characteristics and is affected by climatic conditions,national regulatory policies,international market fluctuations,and random market factors.In recent years,wheat prices have fluctuated frequently,which has brought many uncertainties to China's wheat production and processing and the implementation of agricultural industry policies.Therefore,stabilizing wheat price fluctuations is of great significance for ensuring my country's food security and keeping the national economy healthy and sustainable development.The wheat futures market is a variety of agricultural futures in my country's earlier market.The fluctuation of wheat futures prices has been widely concerned by relevant departments,investors and academia.This article makes an in-depth discussion on the price guidance relationship and the volatility spillover effect between the wheat futures spot market in China,with a view to elucidating the internal relationship between the wheat futures spot prices,revealing the information transmission between the wheat futures spot prices and the mechanism of volatility spillovers.It provides objective basis for the stable operation and coordinated development of spot prices and provides theoretical support for the development of China's wheat market and the formulation of industrial policies by relevant departments.This article takes China's wheat futures and spot prices as research objects,selects wheat futures spot price data from January 2012 to March 2020,uses Johansen co-integration test,Granger causality test,impulse response analysis and variance decomposition based on SVAR model,and The VAR-BEKK-MGARCH and VAR-DCC-MVGARCH methods have conducted empirical research on the price transmission relationship of the wheat futures spot market and the price spillover effect of the wheat futures spot market.We found that: there is a difference between wheat futures prices and spot prices Long-term stable relationship,and changes in futures yields are Granger reasons for changes in spot yields;SVAR-based impulse response and variance decomposition reveal that wheat futures markets are dominant in price discovery;VAR-BEKK-MGARCH model estimation and Wald test The results show that there is a two-way volatility spillover effect between the wheat futures and the spot market.The research results of the VAR-DCC-MGARCH model show that the wheat futures and the wheat spot returns have a weak dynamic correlation,and the residual residuals of the return rate have a dynamic correlation.To a certain extent,the dynamic correlation changes greatly.Finally,this article puts forward targeted policy suggestions from three perspectives of futures traders,futures markets and relevant management departments.