本文關(guān)鍵詞： 棕櫚油 供給沖擊 價格波動 向量誤差修正—廣義自回歸異方差模型(VECM-GARCH模型)　出處：《南方農(nóng)業(yè)學(xué)報》2017年04期 　論文類型：期刊論文

【摘要】：【目的】分析棕櫚油供給量與國內(nèi)主要植物油價格的互動關(guān)系,以及對于來自價格正、負(fù)向沖擊下棕櫚油的供給反應(yīng),為棕櫚油進(jìn)口管理提供理論依據(jù)�！痉椒ā坷梦覈貦坝驮露冗M(jìn)口量、棕櫚油、豆油、菜籽油現(xiàn)貨價格及馬來西亞毛棕櫚油現(xiàn)貨價格數(shù)據(jù),在協(xié)整-GARCH、誤差修正-GARCH框架下進(jìn)行估計分析,研究供給量與價格間的互動關(guān)系,并用線性和非線性Granger因果檢驗進(jìn)行穩(wěn)健性檢驗�！窘Y(jié)果】我國棕櫚油的加工廠商和貿(mào)易商重視過去較長一段時間積累的方差信息(ARCH效應(yīng)),而不是上一期的預(yù)測方差(GARCH效應(yīng));相比于菜籽油,豆油對棕櫚油價格的調(diào)整力較大;棕櫚油供給量對價格的影響力較小,有關(guān)價格滯后二階的好壞消息對供給量具有非對稱性影響;棕櫚油進(jìn)口量和價格相互不是Granger原因。【建議】加強(qiáng)棕櫚油進(jìn)口管理、市場建設(shè)及庫存變化監(jiān)測,加深棕櫚油全球定價機(jī)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.
【作者單位】： 中國熱帶農(nóng)業(yè)科學(xué)院橡膠研究所;中國熱帶農(nóng)業(yè)科學(xué)院科技信息研究所;
【基金】：國家社會科學(xué)基金項目(11CJY064)
【分類號】：F323.7

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