基于GARCH-Copula-CoVaR模型的农业系统性风险研究  

Research on Agricultural Systemic Risk Based on GARCH-Copula-CoVaR Model

作　　者：杨阳 李莉莉[1] YANG Yang;LI Li-li(College of Economics,Qingdao University,Qingdao 266061,China)

机构地区：[1]青岛大学经济学院,青岛266061

出　　处：《青岛大学学报（自然科学版）》2023年第1期111-115,共5页Journal of Qingdao University(Natural Science Edition)

基　　金：国家社会科学基金(批准号:2019BTJ028)资助;山东省金融应用重点研究项目(批准号:2020-JRZZ-03)资助。

摘　　要：选取农业指数日度收益率数据,构建GARCH-Copula-CoVaR模型来研究农业系统间风险溢出效应。研究结果表明,农业内部存在明显的关联性和风险溢出效应,风险溢出度最大值是最小值的2.5倍;畜禽养殖业是农业系统性风险中的重要性行业,承担风险溢出角色,渔业则承担风险接收角色。The daily return rate data of agricultural index was selected to construct GARCH-Copula-CoVaR model to study the risk spillover effect between agricultural systems.Research results show that there are correlation and risk spillover effect in agriculture,and the risk spillover degree is different,the maximum risk spillover degree is 2.5 times the minimum value.Livestock and poultry breeding industry is an important industry in agricultural systemic risk,and plays the role of risk spillover.Fisheries plays the role of risk receiving.

关 键 词：CoVaR 系统性风险 风险溢出 农业 

分 类 号：F832.59[经济管理—金融学] F326