Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/89602
標題: 生質酒精與農產品的價格波動之外溢效果
Modelling Volatility Spillovers on Bio-ethanol and Related Agricultural Commodity Spot and Future Returns
作者: Yu-Ann Wang
王玉安
關鍵字: 生質能源
生質酒精
糧食作物
風險外溢效果
BEKK模型
biofuel
bio-ethanol
agricultural commodities
spillover effects
BEKK model
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摘要: 隨著生質能源的興起,對於相關農產品作物有著一定影響,尤其在價格波動方面備受關注。在財務市場中不同商品之間有著風險外溢效果,農產品價格間亦存在相同現象。探討不同農產品價格波動以及與生質能源的外溢效果,可幫助農民或相關產品供給者利用不同標的物之間的關係來進行避險與價格預測。過去研究大多僅針對生質柴油作物市場,或是糧食作物市場間的外溢效果進行探討,較少分析生質酒精與其相關作物間的風險傳遞。未來在生質能源的發展上,生質酒精與生質柴油均有相當重要的地位,因此本研究針對生質酒精與農產品間的的風險外溢效果做探討,研究以BEKK模型,分析自2005年10月31日至2015年1月14日間,玉米、蔗糖與酒精之期貨和現貨的報酬日資料。研究結果發現,在現貨市場中,玉米與蔗糖間存在負向的風險外溢效果,且兩商品間的平均聯合風險存在正向之線性關係。因此若壞消息發生時,兩商品之聯合風險強度上升,風險同向變動的關係增強,將導致損失風險的上升,因此我們應該避免將玉米與蔗糖現貨作為投資組合標的。而期貨市場中,所有商品間均存在正向的風險傳遞效果,且兩兩商品間的平均聯合風險均為正。當壞消息發生時,期貨市場之任意兩商品的聯合風險強度下降,風險同向變動的關係減弱,可降低損失風險。因此在期貨市場中,我們可利用不同商品作為投資組合,降低風險。
The interest in biofuel has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers hedge their portfolios and manage the risk and co-risk of their biofuel and agricultural commodities. In the past, there have been many papers concerned with analyzing crude oil and agricultural commodities separately. The purpose of this dissertation is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related agricultural commodities, specifically corn and sugarcane, using the multivariate conditional volatility diagonal BEKK model. The daily data used is from 31 October 2005 to 14 January 2015. The empirical results show that in 2 of 6 cases in spot markets, there were significant negative co-volatility spillover effects, specifically corn on subsequent sugarcane co-volatility with corn, and sugarcane on subsequent corn co-volatility with sugarcane. In the other 4 cases, there were no significant co-volatility spillover effects. There are significant positive co-volatility spillover effects in all 6 cases in future markets, namely between corn and sugarcane, corn and ethanol, and sugarcane and ethanol. It is clear that futures prices of bio-ethanol and the two agricultural commodities, corn and sugarcane, have stronger co-volatility spillovers than their spot price counterparts. These results suggest that the bio-ethanol and agricultural commodities should be considered as viable futures products in financial portfolios for risk management.
URI: http://hdl.handle.net/11455/89602
其他識別: U0005-0707201503192300
文章公開時間: 2017-07-10
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