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Position: Home > Articles > Research on Spillover Effect of Grain and Fruit Price Volatility in China Forest Resources Management 2018 (1) 16-23

粮食与林果价格的波动溢出效应研究

作  者：
麻坤;程宝栋;秦光远;刁钢
单  位：
河北农业大学商学院;河北科技大学经济管理学院;北京林业大学经济管理学院
关键词：
粮食;林果;价格波动;BEKK-GARCH模型;溢出效应
摘  要：
林果产业发展较快,与粮食的竞争性和替代性加强。为了解粮食和林果市场的波动特征及关联关系,进而为政府产业政策制定以及农户的种植决策提供参考,利用BEKK-GARCH模型估计了2009年1月至2017年9月粮食和林果价格波动的集群效应和溢出效应。研究结果表明,粮食和林果价格波动呈现一定的集群性,并且市场间存在显著的波动溢出效应;方差脉冲响应结果显示粮食价格对波动冲击的反应较弱但调整时间较长,而林果市场则相反。基于以上结论,建议优化农业产业结构,强化林果特色和品牌建设,积极发展农产品加工业,健全农产品市场风险管理体系。
译  名：
Research on Spillover Effect of Grain and Fruit Price Volatility in China
作  者：
MA Kun;CHENG Baodong;QIN Guangyuan;DIAO Gang;Economics and Management College,Hebei University of Science and Technology;Business College,Hebei Agricultural University;College of Economics and Management,Beijing Forestry University;
关键词：
grain;;fruit;;price volatility;;multivariate GARCH model;;spillover effect
摘  要：
Fruit industry developed rapidly and its competitiveness and substitution for grain were strengthened. Besides,fruit market was unstable. To understand the volatility characteristic and spillover effect of grain and fruit market,and then provide reference for government industrial policy formulation and farmers' planting decision,this study used the BEKK-GARCH model to estimate the cluster effect and spillover effect of grain and fruit price volatility from January 2009 to September 2017. The results showed that there was a certain clustering effect in grain and fruit price volatility,and the spillover effects between markets were significant; the results of variance impulse response showed that the grain price response to one standard volatility was weak but the adjustment time was long,while the fruit market was just the opposite. Based on these conclusions,it is recommended to optimize the agricultural industrial structure,strengthen fruit characteristics and brand building,develop agricultural products processing industry actively and improve the risk management system for agricultural products market.

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