摘要
研究干散货运价与大宗原材料价格的溢出效应可以分析跨市场间的价格信息传导,进而规避风险。以BDI、BCI、中国进口铁矿石价格的日频数据为研究样本,通过建立VAR模型,引入Granger因果检验,探索三者之间的均值溢出效应;构建VAR-MGARCH-BEKK模型,研究三者之间的波动溢出效应。结果表明:BCI与进口铁矿石价格互相存在均值溢出效应;BDI对进口铁矿石价格波动持续性逐渐增强,BCI对进口铁矿石价格波动持续性逐渐减弱;航运市场居于跨市场系统主导地位。
By studying the spillover effect of bulk freight index and bulk raw material price, we can analyze the price information transmission across markets so as to avoid risks. Taking the daily data of BDI, BCI and China’s imported iron ore prices as research samples, this paper explored the mean spillover effect among them by establishing VAR model and introducing Granger causality test and constructed VAR-MGARCH-BEKK model to study the volatility spillover effect among them. The results show that BCI and imported iron ore prices have a mean spillover effect on each other;BDI has gradually increased the volatility of imported iron ore prices, and BCI has gradually weakened the volatility of imported iron ore prices;the shipping market is in a dominant position in the intermarket system.
作者
王杰
程思
WANG Jie;CHENG Si(College of Transportation Engineering,Dalian Maritime University,Dalian,Liaoning 116026)
出处
《价格月刊》
北大核心
2022年第3期29-35,共7页
基金
国家社科基金重大研究专项“服务海洋强国战略的海疆管理体制创新研究”(编号:18VHQ005)。
