国际粮价波动溢出效应研究

Study on the volatility spillover effect of the international grain prices

目前全球拥有60多亿人口,农业有着举足轻重的地位。近年来,国际粮价波动频繁,尤其粮食价格波动具有明显的周期性。本文运用VAR-GARCH-BEKK模型,选取1960-2014年小麦、大米和玉米价格相关数据进行研究。结果表明:从均值溢出效应来看,大米市场与玉米市场、小麦市场与玉米市场之间存在显著的双向溢出效应,对于大米市场与小麦市场而言,仅存在大米市场对小麦市场的单向溢出效应;从波动溢出效应来看,大米、小麦和玉米三个市场价格之间存在显著的双向溢出效应。

Applying VAR-GARCH-BEKK model,this paper made an empirical study onthe volatility spillover effect of the international grain prices,including rice,wheat and maize.Results show that from the perspective of mean spillover effect,there are significant bidirectionalvolatility spillover effects between rice and maize price,and between wheat and maize price;for rice and wheat market,there is only rice price unitary spillover lead effect to the wheat price;and from the point of the volatility spillover effect,there are significant bidirectionalvolatility spillover effects among rice,wheat and maize price.