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试图将极端价格波动成因归结于系统惯性因素和极端随机冲击因素,借助Copulas-GARCH模型,将其引入期货和现货价格联动的计量模型之中,以持有便利收益高的沪铜作为研究样本,实证研究发现:1)引入极端价格波动因素后将显著提升价格联动计量模型的解释能力;2)当负向基差扩大,系统惯性因素引起商品价格剧烈变动,将导致市场联动性下降,而极端随机冲击却具有正向效应,即市场受到极端随机冲击时会增强期现价格联动关系;3)极端随机冲击效应中正向冲击和负向冲击的非对称性特征不显著;4)考虑极端价格波动效应可明显降低生产企业的套期保值成本.研究结论对于商品期货市场套期保值等期货交易具有重要管理启示.
At the same time, it attempts to introduce the reason of extreme price volatility into the metrological model of linkage between futures and spot price with Copulas-GARCH model due to the system inertia factor and extreme random impact factors. Taking the Shanghai copper with high convenience yield as the research sample, The empirical research shows that: 1) the introduction of extreme price volatility will significantly improve the ability to explain the price linkage measurement model; 2) When the negative basis difference expands, the system inertia causes dramatic changes in commodity prices will lead to a decline in market linkage, and extreme Random impact has a positive effect, that is, the market will enhance the current price linkage under the condition of extreme random impact; 3) the asymmetry characteristics of positive and negative impact in the random impact are not significant; 4) Consider the extreme price volatility Effect can obviously reduce the hedging cost of production enterprises.The conclusion of the study has important management implications for futures trading such as hedging in commodity futures markets.