产业链视角下油料产品价格溢出效应的对比分析 ——基于三元VAR-BEKK-GARCH(1,1)模型Comparative analysis of price spillover effect of oilseed products from the perspective of industry chain：Based on trivariate VAR-BEKK-GARCH(1,1) model

Abstract

为了更好地理解油料产品价格的波动规律，提升国内油料产品价格研究水平，以大豆、油菜、花生为油料作物的典型代表，以2011年2月—2019年12月油料产业链上各个环节月度价格数据为基础，采用三元VAR-BEKK-GARCH(1，1)模型，研究油料产业链上、中、下游产品的价格溢出效应。结果表明：大豆产业链各环节产品均存在价格均值溢出效应，油菜产业链上、中游之间没有价格均值溢出效应，花生产业链上、下游之间不存在价格均值溢出效应；在大豆、油菜和花生产业链中，各环节产品间价格双向波动溢出效应明显。政府应通过建立农业产业链价格监测体系、多元化的价格监测体系、稳定的市场调节机制等措施，促进相关农业产业链的协调发展。In order to better understand the fluctuation patterns of oilseed product prices and enhance the level of domestic research on oilseed product prices. Taking soybean, rapeseed and peanut as typical representatives of oilseed crops and using the monthly price data of each link in the oilseed industry chain from February 2011 to December 2019 as the basis, a trivariate VAR-BEKK-GARCH(1,1) model was adopted to study the price spillover effect of the upstream, midstream and downstream sectors of the oilseed industry chain. The results showed that there was a price mean spillover effect among all links in the soybean industry chain, and there was no price mean spillover effect between the upstream and midstream sectors of the rapeseed industry chain, and there was no price mean spillover effect between the upstream and downstream sectors of the peanut industry chain. The bidirectional price volatility spillover effects among the various links in the soybean, rapeseed and peanut industry chains was more significant. The government should promote the coordinated development of the relevant agricultural industry chain by establishing a price monitoring system for the agricultural industry chain, a diversified price monitoring system, and a stable market adjustment mechanism.

Keywords

• 油料产业链；均值溢出效应；波动溢出效应；var-bekk-garch(1
• oilseed industry chain; mean spillover effect; volatility spillover effect; var-bekk-garch(1，1) model