CAJ | 학술논문

利用1997年3月—2012年12月数据，建立VAR模型研究国际原油价格对国内大豆价格、玉米价格和小麦价格的动态冲击；同时运用DVEC和DVEC－TARCH模型分析国际原油价格波动和国内主要农产品价格波动的关联性和非对称性。结果发现：国际原油价格和国内大豆价格互为Granger原因，国际原油价格对大豆价格影响程度最大，对玉米价格的影响次之，对小麦价格影响不明显；国际原油价格波动主要来自自身前期波动，而大豆价格波动同时受到自身和外部冲击的影响。大豆价格波动呈发散趋势，玉米和小麦价格波动趋于收敛；国际原油价格和大豆价格波动具有非对称性，玉米和小麦价格的非对称性则不显著。
이용1997년3월—2012년12월수거，건립VAR모형연구국제원유개격대국내대두개격、옥미개격화소맥개격적동태충격；동시운용DVEC화DVEC－TARCH모형분석국제원유개격파동화국내주요농산품개격파동적관련성화비대칭성。결과발현：국제원유개격화국내대두개격호위Granger원인，국제원유개격대대두개격영향정도최대，대옥미개격적영향차지，대소맥개격영향불명현；국제원유개격파동주요래자자신전기파동，이대두개격파동동시수도자신화외부충격적영향。대두개격파동정발산추세，옥미화소맥개격파동추우수렴；국제원유개격화대두개격파동구유비대칭성，옥미화소맥개격적비대칭성칙불현저。
VAR model is employed to analyze the dynamic impact of international crude oil prices on the prices of domestic soybean,corn and wheat using data collected from March 1997 to December 2012;DVEC and DVEC?TARCH model are utilized to explore asymmetry and correlation between international crude oil prices fluctuations and domestic agricultural prices.The study found that the international crude oil prices and soybean prices are Granger reason.International crude oil prices have stronger effect on soybean prices than on that of corn while they do not have significant impact on wheat prices. Current volatility of international crude oil prices is mainly from its own previous volatility while that of soybean prices is primarily affected by previous external shock and its own volatility.Volatility of soybean prices shows a trend of divergence while that of corn and wheat tends to be of convergence.Both the fluctuation of international crude oil prices and soybeans prices shows the characteristics of asymmetry,which is not significant with corn and wheat prices.