国内外大米价格传递效应的动态变化——基于TVP-VAR-SV模型的实证考察

The Transfer Effect of Rice Price Volatility on China and International Rice

基于贝叶斯估计的框架,利用MCMC算法建立时变参数VAR模型,以2002年6月-2013年2月国际国内大米价格数据为样本,考察其内在波动传递规律。研究发现:国内大米价格主要受汇率波动和自身价格短期和中期的影响,但受国际大米价格的影响近年来持续上升;国际大米价格受其自身价格的短期影响和中国价格波动的影响程度相当,且中国大米对国际大米价格的影响要高于国际大米对中国大米价格的影响。

Based on the data during 2002.6-2013.2,using the MCMC algorithm to build time varying parameters VAR model under Bayesian estimation framework,this paper analyzes the interior connection between the two prices.The results show that the China’s rice price is mainly influenced by exchange rate fluctuations and itself of 2 and 6 lag phase,however,the influence from international rice price has kept increasing in recent years.On the other side,the international rice price is influenced by China’s rice price and itself of 2 lag phase,in addition,China’s rice price has higher influence on international rice price than opposed.