国际粮食价格与能源价格的关联性——基于VECM和DCC-MGARCH模型的实证分析

使用VECM和DCC-MGARCH模型分析了国际粮食价格与能源价格间的关联性。两者的关联性主要体现在价格水平间和价格波动间的关系上。在价格水平方面,长期内,国际能源价格对粮食价格具有显著正向影响;短期内,误差修正项对短期波动偏离长期均衡的调整在总体粮食价格以及小麦价格的回归方程中作用显著。总体粮食价格对能源价格的长期影响显著,但误差修正项的短期调整作用不明显,在各类粮食价格对石油价格短期影响中,误差修正项起到显著调整作用。在价格波动方面,总体粮食价格波动与石油价格波动间存在显著正向相关关系,在具体某一类粮食中,除稻米外,小麦、玉米、大豆市场价格波动都与石油价格波动存在显著正向相关关系。

The Relevance of International Food Prices and Energy Prices:Empirical Analysis Based on VECM and DCC-MGARCH Model

T his paper analyzes the relevance of international food prices and energy prices by the VECM and DCC-MGARCH model .The correlation is mainly reflected in the relationship between price levels and the relationship of price volatility .In terms of the price levels ,in the long run ,international energy prices have a significant positive impact on the food prices .In the short run ,the adjustment of the error correction term to the short-term volatility deviation from the long-term equilibrium is significant in the regression equation of the overall food price as well as wheat price .The impact of overall food prices on the energy prices is significant in the long run ,but the short-term adjustment effect of the error correction term is not significant .The error correction term has played a significant adjustment role in the short-term impacts of all kinds of food prices on oil prices .In terms of price variability ,there is a significant positive correlation between the overall food prices volatility and oil prices volatility .In a specific kind of food ,in addition to rice ,the price volatility of wheat ,corn ,soybean has a significant positive correlation with the oil prices volatility .