随机冲击对中国粮食价格波动的影响

Analysis of Stochastic Impact on Grain Price in China

为测定随机冲击对我国粮食价格波动的影响,利用Beveridge-Nelson分解技术对主要粮食价格进行趋势周期分解,并运用Cochrane方差比统计量测定随机冲击的影响。结果显示,我国籼稻、粳稻、玉米和大豆等粮食价格存在着平稳增长的确定性趋势和负的随机趋势,外部随机冲击对粮食价格具有负作用,并在1998-2003年间表现最严重;粮食价格波动具有显著的周期性,并受随机冲击影响;从短期看,随机冲击对籼稻、粳稻和大豆价格的影响在20期左右达到最大值,对玉米价格冲击在10期左右达到最大值,是价格短期波动的重要诱因。

In order to analyze the stochastic impact on grain price,this paper uses Beveridge-Nelson decomposition to decompose stochastic trend and cycle of main grain prices and utilizes Cochrane variance ratio to test the influence of stochastic impact. The result shows that prices of indica,japonica,corn and soybean demonstrate steadily increasing determinant trend and negative stochastic trend and the stochastic impact on the grain prices is extremely negative,especially from 1998 to 2003. The grain pricescyclical fluctuation is significant, and it is influenced hy the stochastic impact. In the short term, the influence of stochastic impact on price of indica,japonica and soybean reaches the maximum in the 20th period,while the corn price reaches the maximum in the lOth period which is the key factor of the short- term price fluctuation.