国际粮食价格运行规律的实证研究

An Empirical Study on the Pattern of Fluctuation of World Grain Price

本文运用四状态Markov-Switching模型,考察国际粮食价格的运行规律。根据该模型,国际粮食价格上涨率可分为四个阶段:紧缩阶段(平均上涨率-5.2941%)、恢复阶段(平均上涨率-1.3225%)、温和上涨阶段(平均上涨率0.9286%)与快速上涨阶段(平均上涨率5.2832%)。紧缩阶段是一个不稳定的阶段,且平均持续时间最短,只有1.65个月。快速上涨阶段也不稳定,平均持续时间为3.48个月。恢复阶段与温和上涨阶段是一个较为稳定的状态,平均持续时间较长,分别为7.35个月与6.83个月。国际粮食价格阶段的转移存在着"跳跃式"转移,国际粮食价格容易从紧缩阶段直接"跳跃"至快速上涨阶段,与此同时,也容易从快速上涨阶段直接下落至恢复阶段。另外,脉冲响应函数分析显示:相邻两状态的转移,其调整幅度较小,而两状态之间间隔越大,在转移过程中其调整幅度就越大。

This paper uses the Markov-Switching model to reveal the pattern of fluctuation of world grain price. According to the Markov-Switching model, the fluctuation of world grain price can be divided into four stages in terms of the average rising rates, which are the deflation stage （-5.2941%）, the recovering stage （-1.3225%）, the mildly rising stage （0.9286%） and the rapidly rising stage （5.2831%）. The deflation stage is a considerably unstable stage so that the average duration is the shortest among these four stages, which is merely 1.65 months. Compared with the deflation stage, the rapidly rising stage is also unstable but slightly more long-lasting for its average duration prolonged to 3.48 months. As for the recovering stage and the mildly rising stage, unlike the other two stages, they are rather stale and their average durations are 7.35 months and 6.83 months, respectively. There is skip metastasis between the transfers of different stages of the world grain price. The price can ＂jump＂ quickly from the deflation stage to the rapidly rising stage; it is also easy for it to fall directly from the rapidly rising stage to the recovering stage. Furthermore, as the impulse response function indicates, there is a noticeable phenomenon that the adjustment range expands as the gap between two stages in the transfer widens.