LI Qiuping,etc:Spillover Effect of Agricultural Product Price in the Perspective of Agricultural Chain——Based on VAR-BEKK-GARCH(1,1) Model

Abstract  Agricultural chain is the foundation of the formation of agricultural products price, and it is essential to study spillover effects of agricultural product prices from the perspective of agricultural chain. Based on monthly price data of agricultural chain of soybean, wheat, japonica rice and indica rice in China, this paper tries to study the price spillover effect among various links in agricultural chain by using VAR-BEKK-GARCH (1, 1) model. Main conclusions are as follows:(1) there are significant two-way mean spillover effect between the price of links in soybean chain, however, there are significant one-way mean spillover effect from the price of upstream and downstream to the middle in the chain of wheat, japonica rice and indica rice; (2) there is significant bidirectional volatility spillover effect between the price of links in agricultural chain. Based on the research conclusions, this paper argues that we should enhance the existing price regulation system of agricultural products from the perspective of agricultural chain.

Key words： Agricultural Industry Chain    Price of Agricultural Products    Spillover Effects    VAR-BEKK-GARCH(1    1) Model

                Source: Finance & Trade Economics , No.10, 2014