湖南大学学报（社会科学版）Issue(6)：83-89,7.
国内外大米价格传递效应的动态变化基于 TVP-VAR-SV 模型的实证考察∗
The Transfer Effect of Rice Price Volatility on China and International Rice
摘要
Abstract
Based on the data during 2002.6-2013.2,using the MCMC algorithm to build time varying parameters VAR model under Bayesian estimation framework,this paper analyzes the interior connection between the two prices.The results show that the China’s rice price is mainly influenced by exchange rate fluctuations and itself of 2 and 6 lag phase,however,the influence from international rice price has kept increasing in recent years.On the other side,the international rice price is influenced by China’s rice price and itself of 2 lag phase,in addition,China’s rice price has higher influence on international rice price than opposed.关键词
大米价格/波动/关联效应/TVP-VARKey words
rice price/price volatility/correlation effect/TVP-VAR分类
管理科学引用本文复制引用
肖皓,郭彩霞,祝树金..国内外大米价格传递效应的动态变化基于 TVP-VAR-SV 模型的实证考察∗[J].湖南大学学报（社会科学版）,2014,(6):83-89,7.基金项目
国家杰出青年基金项目(70925006) （70925006）
国家自然科学基金项目(71203062) （71203062）
湖南大学“青年教师成长计划”资助 （）
