| 能源市场与玉米市场间价格溢出机制研究——基于三元VEC-BEKK-GARCH(1,1)模型 |
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| 引用本文： | 徐媛媛,王传美,李剑.能源市场与玉米市场间价格溢出机制研究——基于三元VEC-BEKK-GARCH(1,1)模型[J].中国农业大学学报,2018,23(5):168-177. |
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| 作者姓名： | 徐媛媛 王传美 李剑 |
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| 作者单位： | 华中农业大学经济管理学院;武汉理工大学数学系 |
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| 基金项目： | 国家现代农业（蔬菜）产业技术体系产业经济研究专项（nycytx-35）；国家自然科学基金项目（71673103） |
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| 摘 要： | 为探索能源市场与玉米市场间的价格溢出机制,利用VEC-BEKK-GARCH(1,1)模型,对国际原油与国际玉米、国内玉米3个市场彼此间的价格溢出效应进行研究。研究发现:从均值层面来看,国际原油价格与国际、国内玉米价格彼此间存在显著的协整关系,其中国际原油价格与国际玉米价格之间具有很强的双向均值溢出,而后者对国内玉米价格的引导作用略强于前者;从方差层面来看,任意二者间呈现出双向的波动溢出,而效应强弱及类型不尽相同。其中国际原油价格与国际玉米价格之间的波动溢出效应最强,而国内玉米价格受国际原油价格的溢出效应显著弱于源自国际玉米价格的效应。在效应类型方面,除国内、外玉米市场对国际原油市场仅表现出ARCH型,其余两两之间的波动溢出效应兼具ARCH与GARCH型特征。
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| 关 键 词： | 原油价格 玉米价格 VEC-BEKK-GARCH(1 1)模型 波动溢出效应 |
| 收稿时间： | 2017/7/27 0:00:00 |
Research on the spillover mechanism of energy market and corn markets by a trigram VEC-BEKK-GARCH (1,1) model |
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| XU Yuanyuan,WANG Chuanmei and LI Jian.Research on the spillover mechanism of energy market and corn markets by a trigram VEC-BEKK-GARCH (1,1) model[J].Journal of China Agricultural University,2018,23(5):168-177. |
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| Authors: | XU Yuanyuan WANG Chuanmei and LI Jian |
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| Institution: | College of Economics and Management, Huazhong Agricultural University, Wuhan 430070, China,Department of Mathematics, Wuhan University of Technology, Wuhan 430070, China and College of Economics and Management, Huazhong Agricultural University, Wuhan 430070, China |
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| Abstract: | To explore price spillover mechanism between energy market and corn markets,this study focuses on the price spillover effects between foreign crude oil market,foreign corn market and domestic corn market by using the VEC-BEKK-GARCH(1,1) model.The results show that:In terms of mean,the co-integration among the three markets is significant.There is two-way mean spillover effect between foreign crude oil price and foreign corn price,and transmission effect of the latter onto domestic corn price is greater than the former one.In terms of variance,the significant two-way volatility spillover effect also exists between the two markets,and the effect in each pairing differs from the others in intensity and type.The correlation between foreign crude oil price and foreign corn price is the strongest.However,for the domestic corn price,the volatility spillover effect of foreign oil price is weaker than that of the foreign corn price.As for the type of the effects,the effect of corn prices on energy price show both ARCH and GARCH effects. |
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| Keywords: | crude oil price corn prices VEC-BEKK-GARCH (1 1) Model volatility spillover effect |
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