国际国内小麦价格传导分析——基于向量误差修正模型

An Analysis of Price Transmission between International and Domestic Wheat- Evidence from Vector Error-Correction Model

选取2006年～2014年国际国内小麦价格的周数据,结合小麦的价格走势,运用向量误差修正模型（VECM）对国际和国内小麦市场的关系进行了实证分析,发现国际国内小麦市场存在长期协整关系,但国际小麦价格对中国小麦价格没有显著的短期影响,国际小麦价格对中国小麦市场的价格传导时间为20周,并且一开始传导作用并不强烈,随着时间的推移,这种影响才逐渐增强。

By selecting the weekly data of the international and domestic wheat price within 2006-2014, this paper uses the vector error-correction model（TVECM） to take an empirical analysis of the relationship between international and domestic wheat market by combining the price trend of wheat. This article reveals that there is a long-term integration relationship between international and domestic wheat market, but the international wheat price has no prominent short-term impact on China＇s wheat price. The price transmission time of international wheat price on China＇s wheat market is 20 weeks, and the transmission effect is not that strong at the beginning. The impact gradually increases along with the time.