CAJ | 학술논문

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。
사용VECM화DCC-MGARCH모형분석료국제양식개격여능원개격간적관련성。량자적관련성주요체현재개격수평간화개격파동간적관계상。재개격수평방면，장기내，국제능원개격대양식개격구유현저정향영향；단기내，오차수정항대단기파동편리장기균형적조정재총체양식개격이급소맥개격적회귀방정중작용현저。총체양식개격대능원개격적장기영향현저，단오차수정항적단기조정작용불명현，재각류양식개격대석유개격단기영향중，오차수정항기도현저조정작용。재개격파동방면，총체양식개격파동여석유개격파동간존재현저정향상관관계，재구체모일류양식중，제도미외，소맥、옥미、대두시장개격파동도여석유개격파동존재현저정향상관관계。
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 .