国内外食糖市场空间联动与溢出效应研究——基于能源化视角

Geographic Correlations and Spillover Effects Between the Domestic and Foreign Sugar Markets: From an Energy Perspective

基于2000-2014年月度频率数据,运用VEC模型、Granger因果关系检验及三元BEKK-GARCH(1,1)模型,从能源化视角探讨国内外两个不同空间层面上的食糖市场彼此之间的价格溢出效应,解析效应类型、作用程度及方向。实证结果表明:就均值溢出效应而言,国内外糖市及能源市场两两之间存在显著的单向均值溢出,且国内外糖市各自与能源市场间的均值溢出要强于国内外糖市之间的效应;就波动溢出效应而言,国内外糖市与能源市场受自身前期价格波动的影响均较大,两两之间也都呈现出显著波动溢出,单双向关系与效应类型不尽相同。在单双向关系方面,能源价格与国际或国内糖价间存在双向波动溢出,国际糖价对国内糖价为单向波动溢出;在效应类型方面,除能源市场对国际糖市仅表现出ARCH型,后者对前者仅为GARCH型,其余价格对自身及彼此之间的波动溢出效应均表现出ARCH与GARCH型兼具的特性。

Based on the monthly frequency data from 2000 to 2014, we use the VEC Model, Grander causality test and BEKK- GARCH（1, 1） model to explore the price spillover effects of the sugar markets in two different places from the perspective of their energy attributes and analyze the type, extent, and direction of the effects. The empirical results show that, first, there are significant oneway price mean spillover effects between any pairing of the following three markets： the domestic sugar market, the foreign sugar markets, and the energy market. The mean spillover effect between the prices of sugar and energy is greater than the effect between the domestic and foreign sugar markets. Second, in terms of volatility spillover effects, the sugar markets and the energy market are strongly influenced by their own previous price fluctuations. A significant volatility spillover effect also exists between any two of the markets listed above, and the effect in each pairing differs from the others in type and direction. As for the direction of the effects, there is a two-way volatility spillover effect between energy price and international sugar price; the spillover effect between the energy price and the domestic sugar price is the same, while the domestic and foreign sugar prices show a one-way volatility spillover effect. The effect of energy prices on foreign sugar prices is the ARCH type, while the effect of foreign sugar prices on energy prices consists only of the GARCH type. In addition, the effect of other prices on their previous prices and each other＇ s prices show both the ARCH and GARCH effects.