Comparative analysis of price spillover effect of oilseed products from the perspective of industry chain:Based on trivariate VAR-BEKK-GARCH(1,1)model
In order to better understand the fluctuation patterns of oilseed product prices and enhance the level of domestic research on oilseed product prices.Taking soybean,rapeseed and peanut as typical representatives of oilseed crops and using the monthly price data of each link in the oilseed industry chain from February 2011 to December 2019 as the basis,a trivariate VAR-BEKK-GARCH(1,1)model was adopted to study the price spillover effect of the upstream,midstream and downstream sectors of the oilseed industry chain.The results showed that there was a price mean spillover effect among all links in the soybean industry chain,and there was no price mean spillover effect between the upstream and midstream sectors of the rapeseed industry chain,and there was no price mean spillover effect between the upstream and downstream sectors of the peanut industry chain.The bidirectional price volatility spillover effects among the various links in the soybean,rapeseed and peanut industry chains was more significant.The government should promote the coordinated development of the relevant agricultural industry chain by establishing a price monitoring system for the agricultural industry chain,a diversified price monitoring system,and a stable market adjustment mechanism.
oilseed industry chainmean spillover effectvolatility spillover effectVAR-BEKK-GARCH(1,1)model
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