基于VEC-BEKK-GARCH和溢出指数模型的畜产品价格联动效应研究

选取2001年1月至2019年3月猪肉、牛肉和羊肉这3种畜产品的月度价格数据,运用VEC-BEKK-GARCH(1,1)和溢出指数模型,考察国内畜产品价格之间的溢出效应。研究表明:猪肉与牛肉、牛肉与羊肉均存在显著(P<0.05)的双向价格均值溢出效应,而猪肉与羊肉间仅存在前者对后者的单向价格均值溢出效应。畜产品价格序列之间的波动溢出效应明显,对总预测误差方差的贡献为38%,且溢出效应在持续6个月后基本平复。短期内猪肉对牛肉、羊肉价格波动的溢出效应较弱,分别为6.8%、0.94%,长期内溢出效应增强,对牛肉和羊肉价格波动的总溢出效应达到39.9%。猪肉价格会受到其他价格序列波动的溢出影响,达19.1%。牛肉和羊肉价格之间的双向波动溢出效应较为明显,相互影响均在27.5%左右。畜产品价格之间的溢出效应也对畜产品价格调控形成了挑战,应充分考虑畜产品价格之间的溢出方向和溢出程度,完善畜产品价格调控机制。

Study on price relevance of livestock products based on VEC-BEKK-GARCH and spillover index model

With monthly price data of three animal products pork, beef and mutton from January 2001 to March 2019, the spillover effect within animal products price was studied by using VEC-BEKK-GARCH(1,1) model and spillover index. It was shown that there was a significant (P<0.05) two-way mean spillover effect between the market of pork and beef, as well as the market of beef and mutton, while there was only one-way mean spillover effect from the pork market to the mutton market. The volatility spillover effect within the price of livestock products was obvious, which contributed 38% to the total forecast error variance, and the spillover effect lasted six months. In the short term, the spillover effect of pork price shocks on beef and mutton price shocks was relatively weak, only 6.8% and 0.94% respectively. In the long term, the spillover effect was enhanced, and the total spillover effect on beef and mutton price shocks reached 39.9%. At the same time, the shock of pork prices was also affected by other price, up to 19.1%. The two-way volatility spillover effect between beef and mutton prices was obvious, about 27.5%. The spillover effect between the price of livestock products posed a challenge to the regulation of livestock products prices. Therefore, the spillover direction and extent between livestock products prices should be fully considered to improve the early warning mechanism of livestock products prices.