国际大豆价格传导与均衡的变结构分析

Variable Structure Analysis on Transmission and Equilibrium of International Soybean Prices

为了克服固定系数模型无法刻画价格序列结构变动的缺陷,采用带季节漂移项和趋势项的变结构协整模型,研究了国际大豆价格的传导和均衡机制。变结构协整模型可以较好地识别价格序列的结构变化,研究表明:全球大豆价格之间存在均衡机制;全球大豆供给淡季和旺季分别对应着不同的价格传导与均衡机制;2008年全球金融危机使大豆价格系统的结构发生了变化。

The paper analyzes the transmission and equilibrating mechanism ot international soybean prices using variable structure co-integration models with seasonal drift and trend term to overcome the shortcoming of the fixed coefficient model which can＇t identify structure changes of the price system. However, variable structure co- integration models can identify structure changes of the price system. The research shows that： there are equilibrating mechanisms among global soybean prices; there are different transmissions and equilibrating mechanisms in different seasons such as off season and peak season of global soybean supply; the structure of the soybean price system has changed because of global financial crisis in 2008.