国际原油价格冲击对中国农产品市场溢出效应研究
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| Title | The impact of global oil price shocks on China's agriculture markets
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| 作者 | 张传国 刘峰 |
| Author | Zhang Chuanguo and Liu Feng |
| 作者单位 | 厦门大学经济学院 |
| Organization | School of Economics in Xiamen University |
| 作者Email | cgzhang@xmu.edu.cn |
| 中文关键词 | 原油价格 波动率跳跃 农产品 溢出效应 ARJI模型 |
| Key Words | Crude Oil price; Volatility Jump; Agriculture Market; Spillover Effect; ARJI Model |
| 内容提要 | 利用改进的ARMA-GARCH-ARJI模型与ARMA-EGARCH模型，本文分别就国际原油价格波动特征及其波动率的不同组成部分对中国农产品市场的溢出效应进行了实证研究。结果显示，所有市场价格（指数）的变化率均存在显著的偏正态波动集聚效应，而原油价格波动率亦具有显著的间断式跳跃变动特征；虽然国际油价“可预期”与“非预期”冲击对农产品市场收益率的影响均呈现出显著的非对称性，但其作用方向与传导机制却存在本质差异；而在其波动率跳跃的溢出效应方面，以收益率的条件异方差序列衡量的农产品市场风险率对于原油市场当期风险率的“非常规”跳跃变动过度敏感，从而于总体市场指数与具体产品价格层面上均呈现出明显的“当期过度调整而下期理性回调”倾向。 |
| Abstract | This paper investigated global oil price’s shocks and its spillover effects on China's agriculture markets using improved ARMA-GARCH-ARJI model and ARMA-EGARCH model. The results show that all change rates of prices (index) had significant skewed normal volatility clustering effects, and the volatility of oil price was characterized by an intermittent jump feature. In terms of its spillover effects, although the impacts of "expected" and "unexpected" oil price shocks were significantly asymmetric, but the transmission mechanisms were different. As for the volatility jump shocks, the risk rates of agriculture markets were excessively ?sensitive to the “abnormal” jumps of oil market risk, and presented an "over-adjusting first and then rationally callback tendency" in China's agriculture markets at both overall and specific market levels. |
| 文章编号 | WP1259 |
| 登载时间 | 2018-01-26 |
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