基于多元GARCH模型的京津冀地区黄瓜价格波动研究

Research on Fluctuations of Cucumber Price in Beijing-Tianjin-Hebei Region Based on Multivariate GARCH Model

随着京津冀一体化进程的加快,京津冀地区蔬菜产业间的融合程度不断深入,北京市场蔬菜价格的波动与津冀市场存在着动态传导关系。本研究利用多元GARCH模型检验了京津冀地区4个主要蔬菜批发市场黄瓜价格波动是否存在"集群效应"和"溢出效应"。实证结果说明,京津冀地区蔬菜市场存在着较强的相关性,京津蔬菜市场与河北市场有着较大的条件相关系数,且河北蔬菜市场自身有着较强的"波动集群效应"。因此,为稳定蔬菜市场,河北省政府可以通过承接部分京津蔬菜批发市场的功能,提升本省蔬菜批发市场的规模,提高价格信息的透明度。

The degree of integration between vegetable industry in Beijing-Tianjin-Hebei region deepening with the development of integration of the Beijing-Tianjin-Hebei region. There was dynamic conduction relationship on vegetable volatile price between Beijing market and Tianjin-Hebei region. This paper applied multivariate GARCH model to verify the constellation effect and spillover effect on the volatility of cucumber price of four main vegetable wholesale markets in Beijing-Tianjin-Hebei region. The result of empirical analysis showed that there was a strong correlation between the vegetable markets in Beijing-Tianjin-Hebei region and a great conditional correlation coefficient between Beijing-Tianjin vegetable markets and Hebei vegetable markets, furthermore, Hebei vegetable market has a strong volatility clustering effect with itself. Therefore, in order to stable vegetable market, the government of Hebei province should undertake part of the function of Beijing-Tianjin vegetable market to scale up vegetable wholesale market of Hebei and to improve the transparency of price information.