国际农产品价格波动对国内农产品价格的传递效应——基于VAR模型的实证研究

The Pass-through Effect of Fluctuation of International Agricultural Products on Domestic Agricultural Products:an Empirical Study Based on VAR Model

本文根据2003年1月至2008年6月的月度数据,运用协整检验和VAR模型对国际农产品价格波动影响国内农产品价格的传递效应进行了实证分析。结果表明:长期而言,国内农产品价格与国际农产品价格存在协整关系,国际农产品价格的变动对国内农产品价格影响较为显著;脉冲响应函数分析表明,进口价格对国内农产品价格影响的作用时滞为3个月,国际期货市场价格对国内价格的影响不存在时滞,且在第15个月影响达到最大;方差分解结果显示,与进口价格传递相比,国际期货价格的信息反应机制对国内农产品价格波动的影响更大。因此,对我国而言,当务之急是要加强对国际农产品期货市场的研究,不断完善我国期货市场,以期货价格引导农民生产,推动国内农业健康稳定发展。

This paper, using monthly data from January 2003 to July 2008, empirically studies the pass-through effect of fluctuations of international agricultural products to domestic agricultural products price by using cointegration test and VAR model. Conclusions are that fluctuations of international agricultural products influence domestic agricultural products price remarkably in the long run; impulse response function indicates that the pass-through effect of import price on domestic agricultural products has three months＇ time lag; the effect of international futures price on domestic price has no time lag, and the effect reaches the highest point in the 15th month; variance decom- position shows that international futures market＇s influence is more important than the pass-through effect of import price.