棕榈油供给冲击与国内植物油价格波动的动态关系分析

发布时间：2018-02-28 20:50

本文关键词： 棕榈油供给冲击价格波动向量误差修正—广义自回归异方差模型(VECM-GARCH模型)　出处：《南方农业学报》2017年04期 　论文类型：期刊论文

【摘要】：【目的】分析棕榈油供给量与国内主要植物油价格的互动关系,以及对于来自价格正、负向冲击下棕榈油的供给反应,为棕榈油进口管理提供理论依据。【方法】利用我国棕榈油月度进口量、棕榈油、豆油、菜籽油现货价格及马来西亚毛棕榈油现货价格数据,在协整-GARCH、误差修正-GARCH框架下进行估计分析,研究供给量与价格间的互动关系,并用线性和非线性Granger因果检验进行稳健性检验。【结果】我国棕榈油的加工厂商和贸易商重视过去较长一段时间积累的方差信息(ARCH效应),而不是上一期的预测方差(GARCH效应);相比于菜籽油,豆油对棕榈油价格的调整力较大;棕榈油供给量对价格的影响力较小,有关价格滞后二阶的好坏消息对供给量具有非对称性影响;棕榈油进口量和价格相互不是Granger原因。【建议】加强棕榈油进口管理、市场建设及库存变化监测,加深棕榈油全球定价机制的研究。
[Abstract]:[objective] to analyze the interaction between the supply of palm oil and the price of main vegetable oil in China, and to analyze the supply response of palm oil under the positive and negative impact of the price. To provide theoretical basis for palm oil import management. [methods] based on the monthly import quantity of palm oil, spot price of palm oil, soybean oil, rapeseed oil and Malaysia crude palm oil spot price data, In the framework of cointegration -GARCH, error correction GARCH, the estimation analysis is carried out to study the interaction between supply quantity and price. Linear and nonlinear Granger causality tests were used to test robustness. [results] Chinese palm oil processors and traders attached importance to the variance information accumulated over a long period of time, rather than the prediction variance of the previous period. Compared with rapeseed oil, Soybean oil has a great effect on palm oil price, palm oil supply has little influence on price, and the information about price lag second order has asymmetric effect on supply. The import volume and price of palm oil are not the cause of Granger. [recommendation] strengthen the management of palm oil import, market construction and inventory change monitoring, deepen the study of global pricing mechanism of palm oil.
【作者单位】：中国热带农业科学院橡胶研究所;中国热带农业科学院科技信息研究所;
【基金】：国家社会科学基金项目(11CJY064)
【分类号】：F323.7

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