摘要
本文基于国际柴油、菜籽油、大豆油和棕榈油日度价格数据,运用Johansen协整检验、VECM-BEKK-GARCH模型分别分析了国际柴油和菜籽油、大豆油以及棕榈油价格之间的均值溢出效应和波动溢出效应。结果表明:3组价格序列均存在协整关系,短期和长期误差修正机制显著;3组价格序列均存在显著的双向均值溢出效应和波动溢出效应;国际柴油和国际棕榈油之间的相互溢出效应弱于其他两组;国际柴油市场对植物油市场的溢出效应强于国际植物油市场对国际柴油市场的溢出效应。
Based on daily price data of international diesel,rapeseed oil,soybean oil and palm oil,this paper analyses the mean and volatility spillover effect between international diesel price,rapeseed oil price,soybean oil price and palm oil price with Johansen co-integration test and VECM-BEKK-GARCH model.This paper reaches the following conclusions.The three sets of price sequence have co-integration relationship,and the short-term and long-term error correction mechanism is significant.The three price series have significant bidirectional mean and volatility spillover effect.The spillover effect of international diesel oil and international palm oil was weaker than that of the other two groups.The spillover effect of the international diesel market on vegetable oil market is stronger than that of vegetable oil market on the international diesel market.
出处
《世界农业》
北大核心
2017年第11期146-155,共10页
World Agriculture
基金
国家社会科学基金项目:基于粮食安全目标的国际资源利用机制与制度化研究(14BJY221)
公益性行业科研专项:粮食产后损失浪费调查及评估技术研究(201513004)
江苏省现代粮食流通与安全协同创新中心重大项目
"江苏高校优势学科建设工程""青蓝工程"资助项目
