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本文运用基于t分布的VAR-DCC-BVGARCH模型比较研究了金融危机前后的国际原油市场对国内菜油市场的溢出效应及动态条件相关关系。结果显示,国内菜油期货价格与国际原油期货价格的走势基本一致,金融危机前后国际原油市场对国内菜油市场都存在收益溢出效应;国际原油市场对国内菜油市场的波动溢出效应在金融危机之前不存在,而在金融危机之后表现显著;国际原油市场和国内菜油市场存在动态的正相关关系,金融危机使两个市场的相关性得到加强。政策制定者应高度关注国际原油市场的供求信息及其价格波动,动态调整补贴政策,促进国内菜油产业健康发展。
This paper uses VAR-DCC-BVGARCH model based on t-distribution to compare the spillover effects and dynamic conditions of international crude oil market before and after the financial crisis on the domestic vegetable oil market. The results show that the domestic vegetable oil futures prices are in line with those of the international crude oil futures. The international crude oil market has a return spillover effect on the domestic vegetable oil market before and after the financial crisis. The volatility spillover effect of the international crude oil market on the domestic vegetable oil market does not exist prior to the financial crisis , But significant after the financial crisis. The international crude oil market has a positive positive correlation with the domestic vegetable oil market. The financial crisis has strengthened the correlation between the two markets. Policymakers should pay close attention to the supply and demand information and price fluctuations in the international crude oil market, dynamically adjust the subsidy policies and promote the healthy development of the domestic vegetable oil industry.