中国城乡食品价格的非线性互动关系及其政策启示——基于两区制门槛向量误差修正模型的实证研究

Non-linear Linkage Mechanism of Urban Food Price and Rural Food Price in China and Its Policy Implications:Empirical Study Based on the Threshold Vector Error Correction Model

利用2007年1月至2013年6月的城乡食品价格数据,运用两区制门槛向量误差修正模型研究城乡食品价格互动关系中的非线性特征。结果发现,城乡食品价格之间存在显著的非线性协整关系,即在以误差修正项的门槛值划分的两个不同区制内,二者的互动关系存在显著差异;在不同区制内,城镇食品价格的调整速度均大于农村食品价格,且二者调整的方向不一致;城乡食品价格在实现长期均衡的短期调整中,调整主要是由城镇食品价格来完成的,而且这种调整主要发生在二者偏离程度较小的区制一;在不同的区制下,二者的因果关系存在显著差异。在实证研究的基础上,提出了防范中国城乡食品通胀风险的政策建议。

Using the data of urban food price and rural food price from January 2007 to June 2013,this paper investigates the nonlinear characteristics of transmission mechanism of urban food price and rural food price.The results indicate that there exists threshold cointegration between urban food price and rural food price significantly.That is,in the two different regimes divided by the threshold value of the error correction term,the interaction between urban food price and rural food price is significant different in the two;In the left and right sides of the threshold value,the adjustment speed of urban food price is more quickly than rural food price the two adjustment direction is inconsistent;in short-term adjustment process of returning to long-run equilibrium position,the adjustment is mainly done by urban food price,and this adjustment occurs mainly in the regime one in which the degree of deviation is smaller;the Granger causality test shows that under different regime they have different causality.On the basis of empirical research,this paper puts forward policy recommendations to prevent food inflation risk in China＇s urban and rural area.