CAJ | 학술논문

运用DCC-MGARCH和VECM的模型方法,可以实证分析出国际石油价格变动对我国粮食价格的显著影响。首先,利用DCC-MGARCH模型,从整体上对国际石油价格和我国粮食价格的关联性进行实证分析,实证结果支持两者之间总体相关性十分显著的结论。其次,利用VECM模型分别从国际石油价格对粮食价格的长期影响和短期影响两方面进行分析。从长期影响上看,国际石油价格波动与粮食价格存在长期均衡;从短期影响上看,国际石油价格对于各种粮食价格的变动都具有一定的调增作用。
운용DCC-MGARCH화VECM적모형방법,가이실증분석출국제석유개격변동대아국양식개격적현저영향。수선,이용DCC-MGARCH모형,종정체상대국제석유개격화아국양식개격적관련성진행실증분석,실증결과지지량자지간총체상관성십분현저적결론。기차,이용VECM모형분별종국제석유개격대양식개격적장기영향화단기영향량방면진행분석。종장기영향상간,국제석유개격파동여양식개격존재장기균형;종단기영향상간,국제석유개격대우각충양식개격적변동도구유일정적조증작용。
The significant influence of international oil price fluctuation on the prices of food in China can be revealed through the empirical analysis by applying such models as DCC - MGARCH and VECM. First, with the DCC -MGARCH model, an empirical study is carried out to analyze the general relevance between the international oil price fluctuation and the food prices in China, and the conclusion supports the proposition that there exists remarkable relevance between these two. Then, with the VECM model, the influence of the oil price fluctuation on the food prices is analyzed from the long - term and short - term perspectives. From the long- term influence, there exist long -term equilibrium between the international oil price and the food prices; from the short -term influence, the fluctuation in imemational oil price promotes the food prices to a certain degree.