| 摘要: |
| 基于2004-01—2017-12棉花和羊毛市场周度价格数据，通过BEKK-GARCH模型和DCC-GARCH模型分阶段分析了不同政策背景下农业纺织原料市场间的溢出效应和动态关联性。结果表明：棉花和羊毛作为替代品，两者价格间互相影响，但不同时期棉花价格和羊毛价格之间溢出效应存在差异，棉花临时收储政策的实施降低了棉花价格与羊毛价格间的均值溢出效应和波动溢出效应，而棉花目标价格政策实施后棉花价格和羊毛价格间均值溢出效应有所恢复，但波动溢出效应仍受到影响。棉花价格和羊毛价格间关联性具有明显的时变特征，2004年以来总体经历了先波动上升之后波动下降又缓慢回升的"N"型趋势；临时收储政策作为一项"托底型政策"，在稳定棉花价格的同时虽然降低了两者价格波动关联性，但稳定了两者价格关联性波动程度，目标价格政策作为一项"补贴型政策"，在使棉花价格逐渐回归市场的同时引致棉花价格和羊毛价格关联程度回升。 |
| 关键词: 农业纺织原料 产品替代 价格 动态关联 溢出效应 |
| DOI：10.11841/j.issn.1007-4333.2019.06.22 |
| 分类号: |
| 基金项目:农业部和财政部国家现代农业产业技术体系项目（CARS-39-22） |
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| Price spillover effect and the dynamic correlation of agricultural textile raw material market in China: Based on different policy background |
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DING Cunzhen, XIAO Haifeng
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College of Economics and Management, China Agricultural University, Beijing 100083, China
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| Abstract: |
| Based on the weekly price data of the cotton and wool market from January 2004 to December 2017,this study analyzed the spillover effect and dynamic relevance of agricultural textile raw material market under different policy backgrounds by using BEKK-GARCH model and a DCC-GARCH model.The results showed that the price of both cotton and wool influenced each other,but the spillover effect between cotton price and wool price varied in different periods.The implementation of cotton temporary storage policy reduced the mean spillover effect and volatility spillover effect between cotton price and wool price.The mean spillover effect between cotton price and wool price was recovered,but the volatility spillover effect was still affected after the implementation of cotton target price policy.The correlation between cotton price and wool price displayed obvious time-varying characteristics.The correlation between cotton price and wool price went through the trend of "N" which first increased and then fluctuated fell and slowly increased finally since 2004.The temporary storage and purchase policy as an underpinning type of policy reduced the correlation between the two prices while stabilizing the price of cotton.But it stabilized the degree of price correlation between cotton price and wool price.The target price policy as a subsidy policy led to the price of cotton gradually returned to the market and increased correlation coefficient between cotton price and wool price at the same time. |
| Key words: agricultural textile raw materials product substitution price dynamic correlation spillover effect |
