Study On The Risk Transmission Mechanism Between China's Crude Oil Market And China's Grain Market

As an important raw material for modern production and industry,oil has been widely used in all walks of life,and its price fluctuation has been transmitted to all aspects of macro-economy and even all aspects of residents' life.After the 2008 financial crisis,the price of international crude oil market fluctuated violently,and there was a linkage effect between the price fluctuation and several markets,which made the uncertainty of crude oil price become an important factor of global uncertainty.Along with the development of traditional energy,the utilization rate of clean energy or biomass energy is constantly increasing,which forms a substitution relationship with crude oil,a traditional energy.Biomass energy is mainly fuel ethanol,while for fuel ethanol,its raw material comes from corn.As a result,there is a certain conduction effect between the crude oil market and the corn market.At the same time,considering that corn starch is the downstream product of corn,the fluctuation of the corn market will also be transmitted to the corn starch market.When the energy market as a whole fluctuates,it tends to move between the three markets.With the opening of China's crude oil futures market on March 26,2018,the opening of domestic crude oil futures market will bring a lot of impact to relevant markets.In terms of policy formulation,relevant departments need to recognize the interaction between energy market and grain market so as to develop reasonable policy guidelines.In terms of business operation,domestic oil-related enterprises also need a method to hedge the risk brought by the fluctuation of the crude oil market.Although the listing of crude oil futures is of great significance for promoting the development of China's financial system and the process of financial opening,the official listing and trading time of China's crude oil futures is still short.Due to the long-term unstable supply and demand of crude oil prices,the price of crude oil futures may fluctuate greatly.Crude oil futures market and grain futures market how the market risk transmission remains to be tested.Firstly,this paper introduces the crude oil futures contract and grain futures contract from the aspects of development history and trading characteristics,and analyzes the influences on crude oil futures and grain futures respectively from the macroeconomics transmission and the transmission mechanism of the substitution effect of traditional energy and bio-energy.In the part of theoretical basis,this paper established the empirical research hypothesis of risk transmission in crude oil futures market and grain futures market based on the cost-driven transmission mechanism of macro-economy and the transmission mechanism of substitutes based on traditional energy and bio-energy.Based on the above demand,this paper takes the risk transmission mechanism between crude oil market and grain market as the research perspective.Respectively to crude oil futures market and futures markets,corn starch,corn futures market,the soybean futures market using VAR model to establish a connection,and on the basis of the VAR model using BEKK GARCH model and DCC-GARCH model to test the crude oil futures market and grain futures market volatility spillover effect and the dynamic correlation between the model to estimate the results of the parameters to determine the corresponding risk conduction mechanism.Based on the above empirical results,the specific conclusions of this paper are as follows:In terms of volatility spillover effect,the estimated parameters of VAR-BEKKGARCH model and Wald test show that there is two-way volatility spillover effect between crude oil futures market and corn futures market.There is no volatility spillover effect between crude oil futures market,starch futures market and soybean futures market.In terms of the dynamic correlation,this paper obtained the dynamic correlation coefficient through the estimated parameters of the VAR-DCC-GARCH model.The results of the dynamic correlation coefficient indicated that the crude oil futures market had a strong correlation with the corn futures market and the starch futures market,and the mean value was positive.However,the correlation between crude oil futures market and soybean futures market is weak,showing an unrelated result.