氣候變遷導致氣候異常機率增加，溫度和溼度的改變會嚴重的影響到農作物的產量與價格，並影響全球糧食的供應，威脅人類生存最基本的條件。本研究主要目的是藉由美國芝加哥期貨交易所（CBOT）所交易的小麥、黃豆及玉米農產品期貨，來探討溫度變動對芝加哥穀物期貨價格波動之影響。本研究採用ADF與PP對各變數進行單根檢定。並利用GARCH模型來捕捉期貨價格的波動因子，接著再進行迴歸分析以探討穀物期貨價格波動之歷史資料、現貨價格、期貨交易量與溫度等變數對穀物期貨價格波動之影響。 從迴歸分析的實證結果發現：(1)不管是玉米、黃豆還是小麥，過去前三期的穀物期貨價格波動對於當期穀物期貨價格波動具有顯著的影響關係；(2)就玉米和黃豆而言，穀物期貨交易量的歷史資料對於穀物期貨價格波動的影響並不顯著；(3)穀物現貨價格與穀物期貨價格波動之間，有顯著的正向影響關係；(4)就溫度而言，溫度的變動對玉米與黃豆期貨價格的波動具有顯著的負向影響關係；而溫度變動對小麥期貨價格的波動則有顯著的正向影響關係。 The main purpose of this research is to investigate the effects of temperature change on the volatility of futures prices. The data include the futures prices and futures trading quantities of wheat, soybean and corn from American Chicago Board of Trade (CBOT). We evaluate the stability of economic variables by ADF and PP unit root test and capture the volatility of futures prices by GARCH. We regress the volatility of grain's futures prices on the past volatility of grain's futures prices, grain's spot prices, grain's futures trading quantities and temperature. The empirical result of the regression analysis includes four parts.(1)The past three period volatility of grain's futures price have significant impact on the current volatility of grain's futures prices whether corn, soybean or wheat . (2)About corn and soybean, the effect of the historical data of grain's futures treading quantities on the current volatility of grain's futures prices is not significant. (3)There is significant positive relationship between grain's spot prices and the volatility of grain's futures prices. (4)About temperature, there is significant negative relationship between temperature change and the volatility of futures prices of corn and soybean. But the impact of temperature change on the volatility of wheat's futures prices is significant positive.
