| 干散货运价指数与中国进口铁矿石价格溢出效应研究 |
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| 引用本文： | 王杰,程思.干散货运价指数与中国进口铁矿石价格溢出效应研究[J].价格月刊,2022(3):29-35. |
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| 作者姓名： | 王杰 程思 |
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| 作者单位： | 大连海事大学 交通运输工程学院,辽宁大连 116026 |
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| 摘 要： | 研究干散货运价与大宗原材料价格的溢出效应可以分析跨市场间的价格信息传导,进而规避风险。以BDI、BCI、中国进口铁矿石价格的日频数据为研究样本,通过建立VAR模型,引入Granger因果检验,探索三者之间的均值溢出效应;构建VAR-MGARCH-BEKK模型,研究三者之间的波动溢出效应。结果表明:BCI与进口铁矿石价格互相存在均值溢出效应;BDI对进口铁矿石价格波动持续性逐渐增强,BCI对进口铁矿石价格波动持续性逐渐减弱;航运市场居于跨市场系统主导地位。
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| 关 键 词： | BDI BCI 中国进口铁矿石价格 VAR-MGARCH-BEKK模型 波动溢出效应 |
Research on the price spillover effect of bulk freight index and China's imported iron ore |
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| Authors: | WANG Jie CHENG Si |
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| Institution: | (College of Transportation Engineering,Dalian Maritime University,Dalian,Liaoning 116026) |
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| Abstract: | By studying the spillover effect of bulk freight index and bulk raw material price, we can analyze the price information transmission across markets so as to avoid risks. Taking the daily data of BDI, BCI and China’s imported iron ore prices as research samples, this paper explored the mean spillover effect among them by establishing VAR model and introducing Granger causality test and constructed VAR-MGARCH-BEKK model to study the volatility spillover effect among them. The results show that BCI and imported iron ore prices have a mean spillover effect on each other;BDI has gradually increased the volatility of imported iron ore prices, and BCI has gradually weakened the volatility of imported iron ore prices;the shipping market is in a dominant position in the intermarket system. |
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| Keywords: | BDI BCI China’s imported iron ore price VAR-MGARCH-BEKK model volatility spillover effect |
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