世界农业

深入探究大变局下中美农产品期货市场间溢出效应，不仅有助于理解中美农产品期货市场间的关系，而且对于农产品期货市场的风险监测及防控具有重要的参考价值。本文采用新发展的基于TVP-VAR模型的时变频域溢出指数方法和基于QVAR模型的分位数溢出指数方法，多维度分析中美农产品期货市场间溢出效应，并对其传导机制进行了分析。结果表明：中美农产品期货市场间存在显著的溢出效应，平均溢出水平为21.25%,主要由短期溢出效应主导，短期溢出水平是长期溢出水平的3.4倍，且中美农产品期货市场间溢出效应在极端事件冲击下更大，极端状态下溢出水平是正常状态下溢出水平的4倍；中美农产品期货市场间溢出效应具有非对称性，美国农产品期货市场对中国农产品期货市场的溢出水平是中国农产品期货市场对美国农产品期货市场溢出水平的2倍；中国农产品期货受到美国农产品期货的溢出水平均高于受到国内其他品种期货的溢出水平，其中，市场调控较小、对外依赖程度较高的食糖、豆粕、棉花等农产品期货与美国农产品期货市场联动性较强；在市场基本面机制和市场传染机制共同作用下，中美农产品期货市场间溢出效应主要受到国际农产品库存、金融危机、中美贸易摩擦、俄乌冲突等因素影响。

Deeply exploring the spillover effect between China and US agricultural futures markets under the great changes are not only helpful to understand the relationship between China and the United States agricultural futures markets, but also have important implications for the risk monitoring and prevention and control of agricultural futures markets.This paper use time-varying frequency spillover index method based on TVP-VAR model and quantile spillover index method based on QVAR model to analyze the spillover effect between China and US agricultural futures markets in multiple dimensions, and analyze its transmission mechanism.The results show that the spillover effect between the agricultural futures markets of China and the United States is significant, with an average spillover level of 21.25%.Mainly dominated by short-term spillover effects, the level of short-term spillover is 3.4 times that of long-term spillover.And the spillover effect between the agricultural futures markets of China and the United States is greater under extreme event shocks, with the spillover level in extreme states being 4 times higher than that in normal states.The spillover effect between the agricultural futures markets of China and the United States is asymmetric.The spillover level of the US agricultural futures market to the Chinese agricultural futures market is twice that of the Chinese agricultural futures market to the US agricultural futures market.The spillover of Chinese agricultural futures from American agricultural futures is higher than that from other domestic futures.Among them, sugar, soybean meal, cotton and other futures with less market regulation and higher dependence on foreign markets have strong linkage with the American futures market.Under the joint action of market fundamentals mechanism and market contagion mechanism, the spillover effect between China and the United States agricultural futures markets is mainly affected by international agricultural inventory, financial crisis, Sino US trade friction, Russia Ukraine conflict and other factors.