- 學位論文
期貨波動與傳染效應之關聯性分析：以糧食石油及生物燃料為例
An Analysis of Relations between Volatilities and Contagion Effect of Futures: The Cases of Food, Oil and Biofuels
摘要
從2007年到2008年石油價格大幅上升，促使替代能源的崛起，其此效應下影響穀物（玉米，小麥，大豆）和糖的價格，可製成生物燃料的農作物價格紛紛上漲。根據國際貨幣基金組織統計，在2007年至2008年玉米、小麥、大豆及大米價格分別上升41％，146％，71％和29％。由於商品價格劇烈波動會影響到投資者與消費者所面對的價格風險增加，所以此研究針對波動關係加以分析，變數間是否存在波動傳遞效果，提供投資者或避險者從事避險策略時之參考。 本研究使用多變量GARCH模型探討石油與生物燃料的價格變動對糧食價格的傳染效應與波動外溢效果分析。以多變量模型CCC, DCC, BEKK分析能源與糧食各市場之間的蔓延效果，評估四個農產品與三個能源市場之間的訊息傳遞。 實證結果發現動態條件相關的配適度比固定條件相關模型佳。在DCC模型中發現(石油與大豆),(石油與生物柴油)以及(糖與生物乙醇)之間呈現高度顯著，表示數列之間呈現長短期存在關係。研究顯示能源市場價格若有一者價格發生意外的變動時，會立即且強烈的對另一者(糧食)的價格產生衝擊變化。綜上所述，從此研究中，可以發現一個市場的波動性會傳遞至其他市場，並影響波動性的變化，顯示市場間具有波動外溢效果與市場蔓延現象。
並列摘要
The oil prices had soared from 2007 to 2008 that emerged alternative energy, propelling the prices of cereals (corns, wheat, soybeans) and sugar which can be made from biofuel rocketed. In accordance with IMF statistics, from 2007 to 2008, the prices of corns, wheat, soybeans and rice had respectively risen 41%, 146%, 71% and 29%. Owing to severely fluctuated commodity prices may increase the risk of the prices that confront investors and consumers, the purpose of this study is to analyze the variables whether exist the volatility transmission to provide the reference to investors or hedgers embarking on hedging strategy. In the study, we apply multivariate GARCH model to examine the correlation between the variable prices of oil and biofuels, and bilaterally measure the contagious effect and volatility spillovers of food prices. In the other word, we analyze the interplay of energy and food markets by multivariate CCC, DCC, BEKK model to evaluate the message transmission and contagion effect between the agricultural production and energy markets. Thus, the experimental results show that the fitness of DCC model is better than CCC model’s. We find that oil-soybeans, oil-biofuel, and sugar-bioethanol are respective highly significant in DCC model, denoting that the long-run and short-run relationships appeared. The study displays that if prices in the energy markets are unexpectedly fluctuated, they will immediately and strongly impact to other food prices. To sum up, in the study, we find that the markets volatility can influence other markets and have an effect on volatility, expressing that markets have the phenomena of volatility spillovers and contagion.