中国粮食市场价格波动的非对称性"——基于傅立叶季节外生性VAR模型的实证研究

Asymmetry of Price Volatility in Grain Market:Empirical Study on Based on VAR Model with Fourier Seasonal Component

基于1998年1月9日到2014年5月23日中国小麦、玉米和大豆批发市场价格指数的周数据,分别运用单变量EGARCH模型和傅立叶季节外生性条件下的VAR模型,对中国单一粮食市场价格波动的非对称性和不同品种粮食市场间价格波动的非对称性进行了实证分析。结果表明:单一粮食市场中,仅玉米市场的价格波动存在非对称性;不同品种粮食市场间价格波动的非对称性表现为小麦市场的价格上涨在短期内显著引发玉米市场和大豆市场的价格上涨,但玉米市场和大豆市场的价格变化对小麦市场价格变化的影响并不显著。上述结果的政策含义为:稳定玉米市场价格,需特别关注可能造成玉米价格下跌的因素;要稳定整体粮食市场价格,稳定小麦市场价格是关键。

Based on the week data of price indexes of national wheat, corn and soybean wholesale markets from 9th, January, 1998 to 23rd, May, 2014, this paper uses the univariate EGARCH model and VAR model with fourier seasonal component to empirically analyze the asymmet ric effects in different grain markets and among grain markets. The results show as follows：only corn market exists the asymmetric effect of price volatility;there are asymmetric effects between wheat, corn and soybean markets, however,the volatilities of other two markets are based on the volatility of wheat market. Then the policy implications could be illustrated that, stabilizing corn price needs pay much attention to the factors possibly resulting in the decline of corn price,and the stability of wheat market plays a vital role in ensuring the stabilities of corn market and soybean market.