国内外食糖市场整合与价格间溢出效应研究——基于VEC-BEKK-GARCH(1,1)模型的实证

Market Integration and Price Spillover Effect between the Domestic and International Sugar Industry:Based on VEC-BEKK-GARCH(1,1) Model

为测算国内外糖市整合程度和溢出效应,选取2000—2014年食糖价格月度数据,在平稳性的基础上运用Johansen协整检验考察两个市场的整合关系;基于VEC-BEKK-GARCH(1,1)模型测算国内外糖价均值溢出效应及彼此之间的波动溢出效应,结果表明:国内外糖市存在长期的整合关系,国际糖价对国内糖价具有显著的均值溢出效应,国内糖价也存在向长期均衡水平调整的反向修正机制,国内外市场价格间存在前者对后者显著的单向波动溢出效应;国际对国内食糖市场不存在波动溢出效应,一个可能原因是中国政府的行政干预在一定程度上对糖价造成了扭曲,减缓了国际市场对国内市场价格的冲击。

To measure the sugar market integration and spillover effects, based on sugar prices in monthly data from 2000 to 2014 at home and abroad, this paper implemented the stationarity test, and then confirmed the existence of the market integration relationship by Johansen cointegration test. After that, we analyzed the domestic and foreign prices mean spillover effect and the spillover effects based on VEC-BEKK GARCH （1, 1） model. The results showed that there was a long-term sugar market integration relationship at home and abroad. International sugar prices had significant mean spillover effect on domestic sugar price, and the latter had a long- term equilibrium adjustment mechanism. There was a significant volatility spillover effect of sugar prices at home and abroad, and in one direction from the former to the latter. One possible reamn is the government administrative intervention distorts the sugar price in a certain extent, which slows down the international sugar price impact on the domestic sugar price.