我国粮食价格波动的能源因素研究——基于ARDL-ECM模型的实证分析

Study on Energy Factor of Grain Price Fluctuation in China——An Empirical Analysis Based on ARDL-ECM Model

本文在利用CF滤波直观考察国内粮价与国际油价关系的基础上,运用ARDL-ECM模型实证检验了2002年11月至2018年12月中国粮食价格和世界石油价格之间的短期动态效应和长期均衡关系。研究发现:2012年后国际油价与国内粮价之间周期波动的一致性日益减弱;国际原油价格与国内粮食价格之间存在长期协整关系,且前者对后者有显著正向影响,其中,大豆价格对原油价格波动的敏感度最高;国际油价对国内粮价的长期效应大于短期效应。鉴于我国生物燃料产量增速较快,需要关注生物能源发展带来的国内粮价上涨风险。

Based on the CF filter to investigate the relationship between domestic grain prices and international oil price,this paper empirically tests the short-term dynamic effect and long-term equilibrium relationship between China’s grain prices and international oil price from November 2002 to December 2018 by using ARDL-ECM model.It is found that the consistency of cyclical fluctuation between international oil price and domestic grain prices is weakening after 2012;there is a long-term co-integration relationship between international oil price and domestic grain prices,and the former has a significant positive impact on the latter,among which,soybean price is the most sensitive to the fluctuation of oil price;The long-term effect of international oil price on domestic grain prices is greater than the short-term effect.In view of the rapid growth of biofuel production in China,we need to pay attention to the risk of rising grain prices brought by the development of bioenergy.