Research On The Spillover Effect Of Domestic And Foreign Milk Price Under The Background Of Import Surge

In recent years,world milk price fluctuates wildly because of combined effects,such as,rising prices of world feed,the deepening of trade liberalization,the cancellation of EU production quota,and the trade embargo in Russia.In China,food safely affairs,the adjustment of production structure,and the interaction of trade liberalization have led to great increase of dairy imports,under the circumstances,the impact of world milk price is even more serious.Under the background of domestic and foreign market integration,studying the spillover effect of domestic and identifying the fluctuation and transferring characteristics of milk price at home and abroad have great significances on coping with import shocks and stabilizing supply.This paper is based on monthly time series data from 2009 to 2017.On the basis of summarizing the characteristics of China's dairy trade and the change trend of milk price at home and abroad,this paper studies the milk price transfer and spillover effect at home and abroad by using the VAR model,the VEC model and the BEKK-GARCH model.The results manifested that:(1)There is a similar long-term trend between Chinese raw milk price and world milk powder price.However,the diverging trend between Chinese raw milk price and world milk powder price is obvious;(2)There is a long-term equilibrium relationship between China's raw milk price,global dairy trade index,world milk powder price and milk powder imports.Among them,the international market influences the price transmission of raw milk in China through two kinds of channels: trade channels and market channels;(3)The transfer of milk price at home and abroad has asymmetry.In a certain period of time,the fluctuation of global dairy trade index will aggravate the fluctuation of Chinese raw milk price and bring time-varying shocks;(4)There is two-way mean spillover effect and two-way variance spillover effect between Chinese raw milk price and world milk powder price,so is that between Chinese raw milk price and milk powder imports.The difference is that the world price of milk powder only affects the price of raw milk in China in a short term,while the milk powder imports has a lasting impact.