国际国内市场大豆价格长短期关系研究——基于协整理论和误差修正模型的实证分析

The Relationship between International and Domestic Soybean Prices in the Long Term and Short Term——An Empirical Study Based on Cointegration Theory and Error Correction Model

基于1998年1月—2010年11月的月度数据,利用协整理论以及误差修正模型等方法对国际大豆市场和国内大豆市场之间的关系进行实证分析。研究结果发现:国际国内大豆市场价格之间在长期具有均衡稳定的协整关系,国际市场大豆价格的波动显著影响着我国市场大豆价格的变动;国际大豆价格波动向国内市场传导的过程具有由短期波动到长期均衡的自我修正的动态机制;国际国内大豆市场反向的因果关系并不成立,国内大豆市场对国际大豆市场影响有限。因此,为维持我国大豆市场价格的稳定,需要采取有效措施,建立国际价格预警体系,提高国内大豆产量,完善农产品期货市场,充分发挥农产品进口及收储政策的调控作用。

On the basis of monthly data fi＇om January 1998 to November 2010, this paper uses comtegratlon meory ann error correction model to make an empirical study of the relationship between international and domestic soybean markets. The findings are as follows： There is a balanced and stable cointegration relationship between international and domestic prices, with a significant effect of international price fluctuations on domestic prices changes; the transmission process from international price fluctuations to domestic market has a self-correcting dynamic mechanism from short-term fluctuations to long-term equilibrium; the reverse causality between international and domestic prices is untenable, with limited effect of domestic price on international price. To maintain domestic price stability, therefore, we need to take effective measures, such as establishing an international price forewarning system, increasing domestic soybean production, improving futures market for agricultural products, and giving full play to the regulatory effect of import, purchase and storage policies for agricultural products.