农产品价格轮番上涨的理论解释与实证分析

采用向量自回归模型、方差分解、多变量自回归条件异方差模型实证分析水产品、粮食、鲜果、鲜菜和肉禽及其制品市场相互作用的关系和波动溢出效应，研究农产品价格轮番上涨的原因。研究结果表明：总体上，农产品市场相互影响；某类农产品价格上涨，进而带动其他农产品价格上涨的过程，也是其他农产品缓解被冲击农产品市场价格上涨压力的过程。由水产品、鲜果、鲜菜和肉禽及其制品构成的鲜活农产品市场两两间存在明显的GARCH型波动溢出效应；鲜活农产品市场与粮食市场的波动溢出效应却并不显著。农产品市场调控政策的制定要从全局出发，对各类农产品市场的关联性引起足够重视。

Theoretical Explanation and Empirical Study of Various Agricultural Products Prices Rise Simultaneously

VAR, variance decomposition and VECH models are used to analyses empirically the interaction relationship and volatility spillovers of the primary agricultural products: aquatic products, grain, fresh fruits, fresh vegetables and meat, which is to explain why various agricultural products prices rise simultaneously. The research found that the five kinds of agricultural products prices influence each other. When one of them triggered the price rise of other agricultural products, the latter would relieve the impact degree from the former market. There are obvious GARCH type volatility spillovers among fresh agricultural products markets constituted by aquatic products, fresh fruits, fresh vegetables and meat while the volatility spillovers are not evident between grain and fresh agricultural products markets. When polices related to agricultural products are issued, the relevance of various agricultural products markets deserves sufficient attention.