我国石油行业对农业机械行业波动溢出效应研究及对策  

Research on the Volatility Spillover Effect of the Petroleum Industry in our Country upon the Agricultural Machinery Industry and the Countermeasures

作　　者：张瑞锋[1] 张振[2] 刘斌[3] 

机构地区：[1]天津大学管理学院 [2]河北经贸大学科研处,石家庄050061 [3]张家口职业技术学院,河北张家口050061

出　　处：《农机化研究》2006年第11期77-80,共4页Journal of Agricultural Mechanization Research

基　　金：河北省社科规划项目(200502016);河北省科技研发项目(05457242)

摘　　要：为了研究我国石油行业与农业机械行业之间的波动溢出效应,了解石油行业波动对农业机械行业的影响,通过对上证、深证的上市公司情况进行分析,选取合适的股票计算了石油行业与农业机械行业综合指数;采用GARCH的方法,验证了石油行业日收益率波动对农业机械行业日收益率存在着强烈的溢出效应,最后提出了相应的对策建议。In order to study the volatility spillover effect between the petroleum industry and the agricultural machinery industry in our country and find out the influence of the volatility of the petroleum industry upon the volatility of the agricultural machinery industry, the paper selects suitable stock to compute the aggregative index number of the petroleum industry and the agricultural machinery industry by analyzing the listed companies of Shanghai Stock Exchange and Shenzhen Stock Exchange. By adopting GARCH analysis, it verifies a strong volatility spillover effect of the daily earning rate volatility of the petroleum industry upon the daily earning rate of the agricultural machinery industry. And in the end, it puts forward some advice on policy for the relevant problems.

关 键 词：农业经济 波动溢出 理论研究 日收益率 综合指数 GARCH 

分 类 号：F323.9[经济管理—产业经济]