文章摘要
国内外原料奶市场价格溢出效应研究——基于滚动协整与BEKK-GARCH模型
Study on the price spillover effects of both domestic and imported raw milk markets: Based on the rolling cointegration and the BEKK-GARCH model
投稿时间:2017-07-20  修订日期:2017-12-22
DOI:10.13872/j.1000-0275.2017.0131
中文关键词: 原料奶价格  均值溢出效应  波动溢出效应  滚动协整  BEKK-GARCH模型
英文关键词: raw milk price  average spillover effect  volatility spillover effect  rolling cointegration  BEKK-GARCH model
基金项目:国家自然科学基金项目(71673103,71703049);教育部人文社会科学研究青年基金资助项目(17YJC790173)
作者单位E-mail
严哲人 华中农业大学 经济管理学院 yzrhzau@126.com 
徐媛媛 华中农业大学 经济管理学院 xyyzr@webmail.hzau.edu.cn 
肖小勇 华中农业大学 经济管理学院 xxy@mail.hzau.edu.cn 
李崇光 华中农业大学 lcg@mail.hzau.edu.cn 
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中文摘要:
      近年来,国际原料奶市场价格波动频繁,而随着中国乳品贸易迅速增长,这给国内原料奶行业发展带来了严重挑战。为考察国际原料奶市场对国内市场的影响,维护国内原料奶业稳定发展,基于2008—2016年国内外原料奶市场价格数据,运用滚动协整分析法和BEKK-GARCH模型,分析国内外原料奶市场之间的关联性,探讨两个市场之间的价格溢出效应,并对此依次从均值、方差层面进行研究。结果表明:国内外原料奶市场价格信号主要沿“国际到国内”进行单方向溢出,二者的价格波动具有动态一致性,国际原料奶价格每变动1%,国内原料奶价格则同方向变动0.27%。国际原料奶市场依托贸易路径对国内市场产生价格溢出效应,且在一定时期内,前者的价格波动会加剧后者的价格波动,并对其造成集聚性冲击和持续性影响。但受到特定事件影响,二者间的价格溢出效应具有阶段差异性以及时变性特征,国内奶源发展形势和乳品进口态势会对国际价格溢出效应强度产生影响。鉴于此,提出实施优质奶源工程、适当调整补贴方向、有效把握国内原料奶供给导向、加强乳品进口质量调控等对策建议。
英文摘要:
      In recent years, imported raw milk prices have been fluctuating frequently, and with the rapid growth of China’s dairy trade, this has brought serious challenges to the development of domestic raw milk industry. Based on the data of two raw milk market prices during 2008-2016 and applying the method of rolling cointegration and BEKK-GARCH models, this paper analyzed the correlation between domestic and imported raw milk markets, and discussed the price spillover effects of both domestic and imported raw milk markets. Results show that: the price signal of domestic and imported raw milk markets mainly spills from “imported to domestic”, and the price fluctuations of the two markets are in a dynamic consistency. The price of imported raw milk changes by 1% while that of domestic raw milk by 0.27% in the same direction. The imported raw milk market has a price spillover effect on the domestic market relying on the trade route. In a certain period of time, the former price volatility can aggravate the latter, and cause agglomeration effect and sustained impact on the latter. However, affected by some emergencies, the price spillover effect between the two is characterized by stage differences and time-varying characteristics. The situation of domestic milk sources and the imports of dairy products would have an impact on the intensity of imported raw milk price spillovers. In summary, this paper provides the following suggestions: to implement high quality raw milk project, to properly adjust subsidies direction, to efficiently control domestic raw milk supply orientation, and to strengthen the quality regulation of dairy imports.
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