产业链视角下乳制品价格溢出效应研究——基于VAR-BEKK-GARCH(1,1)模型

Spillover Effect of Dairy Products from the Perspective of Industry Chain——Based on VAR-BEKK-GARCH(1,1) Model

奶业产业链是乳制品价格形成的基础,从产业链着手有助于发现乳制品价格溢出效应的本质特征。本文选取牛奶、酸奶、婴幼儿奶粉、老年奶粉作为乳制品的代表,基于2010年5月至2018年5月乳制品产业链月度价格数据,使用VAR-BEKK-GARCH(1,1)模型分析乳制品产业链各环节间的价格溢出效应。研究发现:婴幼儿奶粉产业链上、中、下游价格间存在显著的单向均值溢出效应,而牛奶、酸奶、老年奶粉产业链的中游对上游、下游对中游价格存在显著的单向均值溢出效应;牛奶、酸奶、婴幼儿奶粉、老年奶粉产业链各环节价格在自身和彼此间具有显著双向波动溢出效应,但从显著性水平来看,牛奶产业链和婴幼儿奶粉产业链各环节间的双向波动溢出效应最为明显。

Dairy chain is the foundation of the dairy product price,and it is essential to study the spillover effects of dairy product prices from the perspective of the dairy chain.This article selects milk,yogurt,infant milk powder and aged milk powder as the representatives of dairy products and analyzes the price spillover effects among various links of the dairy product chain by using VAR-BEKK-GARCH(1,1)model based on the monthly price data of all links in the dairy industry chain from May 2010 to May 2018.The result shows that:there are significant oneway mean spillover effects of infant milk powder,and there are significant one-way spillover effect from the price of middle to upstream,downstream to middle in the chain of milk,yogurt and aged milk powder.Moreover,there is a significant bidirectional volatility spillover effect between the prices in the dairy product chain,and milk and infant milk powder have the most significant bidirectional volatility spillover effect in the level of significance.