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基于波动率调整后的回归模型,对比研究次贷危机爆发前的非危机阶段以及危机爆发后的危机Ⅰ、Ⅱ三个阶段,代表套期保值的商业交易商以及代表国际热钱等投机资本的非商业交易商在农产品、牲畜、能源、金属、软商品、金融期货6类国际大宗商品期货间的流动方向。研究发现:相比危机前的套期保值资金投资规模减少,国际热钱投机规模增加,比危机前更热衷于参与国际大宗商品期货市场投资;在危机中,代表套期保值者的商业交易商投资原油期货的同时,也增加了对收益率更稳定的黄金、十年期国债期货的交易.而代表国际热钱等投机者的非商业交易商并没有转向持有收益率更稳定的黄金、十年期国债等金融期货,反而投机于能源期货市场以及代表生物能源的农产品、软商品期货市场.在欧洲主权债务恶化的危机Ⅱ期比危机I期,套期保值者的投资行为变化不大,而投机者的投机行为变化较大,资金流向流动性高,收益快的三个月欧洲美元期货.
Based on the adjusted regression model of volatility, we compared the non-crisis stage before the subprime mortgage crisis and the crisis I and II after the crisis. The three stages represent the hedging commercial traders and the non-speculative capitalists such as international hot money The direction of the movement of commercial traders among the six categories of international commodity futures in agriculture, livestock, energy, metals, soft commodities and financial futures. The study found that compared with pre-crisis hedge funds to reduce the scale of investment, the scale of the international hot money speculation increased more than before the crisis more interested in participating in the international commodity futures market investment; in the crisis, on behalf of hedging commercial traders investment Crude oil futures also added to more stable yields of gold and 10-year Treasury futures, while non-commercial traders representing speculators such as the international hot money did not shift to holding more stable yields of gold for a decade Term bonds and other financial futures, but speculation in the energy futures market and on behalf of bioenergy agricultural products, soft commodities futures market.In Europe, the crisis of sovereign debt crisis II period than the crisis, hedging little change in investment behavior, and Speculators’ speculative behavior has changed a lot. The flow of funds has been characterized by high liquidity and fast returns for the three-month European dollar futures.