4大国际粮食品种长期价格波动及影响因素比较分析——基于ARCH类模型研究

A comparative analysis of the characteristics of long-term international price fluctuation and influence factors of the four major grain:based on ARCH Model

同时利用国际国内两个市场来解决中国的粮食安全问题已基本达成共识,了解国际粮食市场波动特征及其影响因素就显得尤为重要。本文利用ARCH类模型对国际4大粮食品种(大豆、玉米、大米和小麦)价格长期波动特征及其影响因素进行了分析和比较。结果表明,4大国际粮食品种价格的波动特征存在差异;各品种的滞后一阶价格分别对其自身的价格有显著的正相关关系;化肥价格的波动仅影响玉米和小麦的价格;石油价格波动和贸易自由对4大粮食品种价格都没有影响;美国货币供应量的波动仅影响大米的价格;美元汇率波动仅影响玉米的价格。政策启示:按照不同粮食品种价格的波动特征进行有针对性的价格趋势测算和贸易决策;因各粮食品种价格波动的影响因素差异较大,要采取恰当的措施应对粮食价格涨落。

With the deepening of the degree of domestic food policy,it is very important to understand the fluctuation of international grain market and grain price.This paper analyzes and compares the characteristics and the influence factors of long-term fluctuations in the prices of the world's four largest grain varieties(soybean,corn,rice and wheat)using the ARCH model.The results show that there is a significant positive correlation between the fluctuation characteristics of the four major international grain varieties,and the lag of each species has a significant positive correlation with their own price.The fluctuation of chemical fertilizer only affects the price of corn and wheat.The fluctuation of oil price and trade has no effect on the four major food prices.The fluctuations in the US money supply only affect the price of rice;the dollar exchange rate fluctuations only affect the price of corn.Policy implications according to the fluctuation characteristics of different varieties of grain,the price trend is estimated and investment.Because of the difference in the price of food,appropriate measures should be taken to deal with the fluctuation of grain price.