基于传导机制的中国玉米价格与原油价格因果关系研究

The Research on Relationship Between the Corn Price and the Oil Price in China Based on the Transmission Mechanism

为了探究在考虑以玉米乙醇为传导机制的中国玉米价格与原油价格间的因果关系,本文首先探讨了基于玉米乙醇生产的玉米与原油间价格传导机制的理论,并通过使用拔靴检验及滚动窗口因果关系检验等方法,对2007年1月至2015年6月中国玉米出口价格月度数据与布伦特原油现货价格月度数据进行了检验。结合相关理论基础的检验结果表示,中国玉米价格与原油价格在数据的时间区间内全样本检验不存在因果关系但存在结构性变动,参数存在不稳定性,而在分样本拔靴滚动窗口检验结果中表示二者在一定时间区间内存在双向的因果关系,原油价格对玉米价格影响更为显著。

This paper uses bootstrap Granger full-sample causality test and sub-sample rolling window estimation to test the causal link between the corn price and the oil price in China. The results show there is no causality between the corn price and the oil price in China through bootstrap full-sample Granger cau-sality test. However, considering structural changes, the paper assesses the stability of parameters of the estimated vector autoregressive （VAR） models and finds that both the long-run and short-run relationships are unstable. Choosing a time-varying （bootstrap） rolling window approach to retest the dynamic cause, the paper finds that there are interactions between the corn price and the oil price in China. The influence from oil to corn is stronger than that from corn to oil. This conclusion meets the theory that the oil price and the corn price influence each other. These findings show that it is important to keep balance between the corn for commodity and the corn for ethanol.