粮食与林果价格的波动溢出效应研究

doi:10.13466/j.cnki.lyzygl.2018.01.003

林业资源管理 ›› 2018›› Issue (1): 16-23.doi: 10.13466/j.cnki.lyzygl.2018.01.003

粮食与林果价格的波动溢出效应研究

麻坤¹^,³(), 程宝栋²(), 秦光远², 刁钢³

1.河北科技大学经济管理学院,石家庄 050061
2.北京林业大学经济管理学院,北京 100083
3.河北农业大学商学院,河北保定 071000

收稿日期:2017-12-29 修回日期:2018-01-19 出版日期:2018-02-28 发布日期:2020-09-27
通讯作者: 程宝栋
作者简介:麻坤(1982-),女,河北石家庄人,讲师,博士,研究方向:农产品市场与贸易。Email:mkbisheng@163.com
基金资助:
北京林业大学青年教师科学研究中长期项目“经济新常态下中国林产品贸易转型升级研究”(2015ZCQ-JG-02)

Research on Spillover Effect of Grain and Fruit Price Volatility in China

MA Kun¹^,³(), CHENG Baodong²(), QIN Guangyuan², DIAO Gang³

1. Economics and Management College,Hebei University of Science and Technology,Shijiazhuang 050061,China
2. College of Economics and Management,Beijing Forestry University,Beijing 100083,China
3. Business College,Hebei Agricultural University,Baoding,Hebei 071000,China

Received:2017-12-29 Revised:2018-01-19 Online:2018-02-28 Published:2020-09-27
Contact: CHENG Baodong

摘要/Abstract

摘要：

林果产业发展较快,与粮食的竞争性和替代性加强。为了解粮食和林果市场的波动特征及关联关系,进而为政府产业政策制定以及农户的种植决策提供参考,利用BEKK-GARCH模型估计了2009年1月至2017年9月粮食和林果价格波动的集群效应和溢出效应。研究结果表明,粮食和林果价格波动呈现一定的集群性,并且市场间存在显著的波动溢出效应;方差脉冲响应结果显示粮食价格对波动冲击的反应较弱但调整时间较长,而林果市场则相反。基于以上结论,建议优化农业产业结构,强化林果特色和品牌建设,积极发展农产品加工业,健全农产品市场风险管理体系。

关键词: 粮食, 林果, 价格波动, BEKK-GARCH模型, 溢出效应

Abstract:

Fruit industry developed rapidly and its competitiveness and substitution for grain were strengthened.Besides,fruit market was unstable.To understand the volatility characteristic and spillover effect of grain and fruit market,and then provide reference for government industrial policy formulation and farmers’ planting decision,this study used the BEKK-GARCH model to estimate the cluster effect and spillover effect of grain and fruit price volatility from January 2009 to September 2017.The results showed that there was a certain clustering effect in grain and fruit price volatility,and the spillover effects between markets were significant;the results of variance impulse response showed that the grain price response to one standard volatility was weak but the adjustment time was long,while the fruit market was just the opposite.Based on these conclusions,it is recommended to optimize the agricultural industrial structure,strengthen fruit characteristics and brand building,develop agricultural products processing industry actively and improve the risk management system for agricultural products market.

Key words: grain, fruit, price volatility, multivariate GARCH model, spillover effect

中图分类号:

F316.2

麻坤, 程宝栋, 秦光远, 刁钢. 粮食与林果价格的波动溢出效应研究[J]. 林业资源管理, 2018,(1): 16-23.

MA Kun, CHENG Baodong, QIN Guangyuan, DIAO Gang. Research on Spillover Effect of Grain and Fruit Price Volatility in China[J]. FOREST RESOURCES WANAGEMENT, 2018,(1): 16-23.

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	WP	AP	PP
ADF统计量	-2.4450	-2.9610	-2.0514
PROB.	0.1301	0.0395	0.2650

变量	Mean	Std.Dev	Skewness	Kurtosis	J-B statistic	ADF
WPR	0.0002	0.0081	-0.1900	9.2117	711.6681^***	-11.9292^***
CPR	0.0000	0.0136	-1.9786	14.3005	2634.2600^***	-11.1654^***
APR	0.0010	0.0155	0.3229	4.3500	41.1497^***	-7.5931^***
PPR	0.0011	0.0200	-0.1681	3.9845	19.8880^***	-11.5786^***

原假设	F-Statistic	Prob.
WPR does not Granger Cause CPR	1.1808	0.3080
CPR does not Granger Cause WPR	0.9123	0.4024
WPR does not Granger Cause APR	3.6611	0.0265
APR does not Granger Cause WPR	5.4832	0.0044
WPR does not Granger Cause PPR	0.1478	0.8627
PPR does not Granger Cause WPR	0.4686	0.6262
CPR does not Granger Cause APR	1.4405	0.2379
APR does not Granger Cause CPR	1.1390	0.3211
CPR does not Granger Cause PPR	1.7519	0.1747
PPR does not Granger Cause CPR	2.2698	0.1046
APR does not Granger Cause PPR	11.0248	0.0000
PPR does not Granger Cause APR	0.7341	0.4805

矩阵 C			矩阵 A			矩阵 B
0			0.6708^***	-0.0823	-0.1269^*	-0.0104	-0.3401^**	0.0669
-2.5511			-0.0454	-0.0665	-0.0735	-0.0789	-0.0469	-0.0537
0.4024^***	1.0242^***		0.0578^**	0.3452^***	0.1547^***	-0.3194^***	0.5924^***	-0.2497^***
-0.0145	-0.1901		-0.0294	-0.0289	-0.041	-0.0079	-0.009	-0.0119
0	0.2755^***	0	0.0386^*	-0.0340^**	0.2245^***	-0.0249^**	0.0819^***	0.9899^***
-3.2416	-0.0307	-1.809	-0.0205	-0.0182	-0.0151	-0.0114	-0.0066	-0.0048
Log likelihood		-2210.04

粮食与林果价格的波动溢出效应研究

Research on Spillover Effect of Grain and Fruit Price Volatility in China

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