摘要
金融市场的波动性是其固有的特征,它与农产品价格波动之间存在多大的关联度,近年来农产品价格的频繁波动中又有多少是由金融的波动引起的,一直是值得研究的问题。我们对国内外农产品价格和金融市场的波动特征进行了实证对比,发现它们之间存在显著的关联性,通过BEKK-GARCH模型计量出了金融波动对农产品价格波动存在溢出效应,得出大豆等农产品价格波动中有30%~40%是由货币供应量的波动贡献的结论。
The volatility of financial markets is its inherent features. It has always been a worthy study question that how much the correlation between the volatility of the financial market and the price fluctuation of agricultural products and how many fluctuations in the prices of agricultural products are caused by financial fluctuations in recent years. We compare the fluctuation characteristics of agricultural products and financial markets at home and abroad and find that there is a significant correlation between them. We measure out the spillover effects of financial fluctuations on the price volatility of agricultural products by the BEKK--GARCH model and find that 30%-40% is contributed by the fluctuation of the money sup- ply in the price fluctuation of soybean and other agricultural products.
出处
《财经理论研究》
2017年第6期72-80,共9页
Journal of Finance and Economics Theory
基金
教育部人文社会科学课题(13YJA790035)
