国内外粮食市场关联性实证研究

Empirical Research on the Correlation between Domestic and International Grain Markets

基于小麦、稻谷和玉米国内外市场价格日数据,文中采用VEC(VAR)模型和DCC-GARCH模型分析了国际粮价对国内粮价的均值溢出效应以及国内外粮食市场间的动态关联性。研究发现:第一,不同粮食品种国内外市场价格均衡关系间存在差异。第二,小麦、玉米粮食品种国内外市场间关联性不高,具有持续效应,其中,小麦国内外市场间的关联程度低于玉米市场,市场分割现象明显。第三,玉米临时收储政策改革会提高国内外玉米市场动态条件相关系数波动程度和关联程度。最后,对粮食价格支持政策改革提出了相关建议。

Based on daily domestic and international price data of wheat,rice and corn,this paper analyzed the spillover effect of international grain prices on domestic grain prices and the dynamic correlation between domestic and international grain markets,using VEC(VAR)model and DCC-GARCH model.The study found,firstly,there is a difference in the equilibrium relationship between the prices of different varieties of grain at domestic and international markets.Secondly,the correlation between the domestic and international markets of wheat and corn is lower,but the effect of the correlation is persistent.And,the correlation between the domestic and international markets of wheat is lower than that of corn,and the market segmentation is prominent.Thirdly,the policy reform of temporary purchase and storage of corn will improve the degree of volatility and correlation of dynamic conditional correlation coefficient of domestic and international markets.Finally,some suggestions are put forward for the reform of grain price support policy in China.