首都经济贸易大学金融学院招聘启事
工作论文
当前位置:首页 > 工作论文
国际原油价格冲击对中国农产品市场溢出效应研究
阅读全文         下载全文
TitleThe impact of global oil price shocks on China's agriculture markets  
作者张传国 刘峰  
AuthorZhang Chuanguo and Liu Feng  
作者单位厦门大学经济学院 
OrganizationSchool of Economics in Xiamen University 
作者Emailcgzhang@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 WordsCrude 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。 
AbstractThis 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 
  • 主管单位:中国社会科学院     主办单位:中国社会科学院经济研究所
  • 经济研究杂志社版权所有 未经允许 不得转载     京ICP备10211437号
  • 本网所登载文章仅代表作者观点 不代表本网观点或意见 常年法律顾问:陆康(重光律师事务所)
  • 国际标准刊号 ISSN 0577-9154      国内统一刊号 CN11-1081/F       国内邮发代号 2-251        国外代号 M16
  • 地址:北京市西城区阜外月坛北小街2号   100836
  • 电话/传真:010-68034153
  • 本刊微信公众号:erj_weixin