了解埃及小麦期货与现货价格的依赖结构

Osama A. A. Ahmed, F. Abdelradi
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引用次数: 0

摘要

本文的目的是检验埃及小麦期货-现货价格联系的依赖结构。通过GJR-GARCH模型和半参数联结估计来评估价格之间的协同运动。结果表明,期货和现货价格之间存在积极的联系,市场越接近,这种联系就越强。发现了极端市场情况下价格不对称行为的证据。因此,小麦期货价格的上涨预计会传递给埃及现货市场,而价格的下跌则不会传递。这意味着埃及小麦市场无法保护消费者免受国际小麦价格极端上涨的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Understanding the Dependence Structure Between the Futures and Spot Prices of Wheat in Egypt
The aim of this article is to check the dependence structure for the futures-spot prices link of Egyptian wheat. Co-movements between prices are assessed by a GJR-GARCH model and semi-parametric copula estimation. Results suggest a positive futures-spot prices link, which becomes stronger the closer the markets are. Evidence of asymmetric behavior of the prices at times of extreme market situations is found. As a result, increases in wheat futures prices are expected to be passed to the Egyptian spot market, while the prices decline is not passed. This implies that the Egyptian wheat market cannot protect consumers against extreme international wheat price increases.
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