国际粮价对我国粮价的非对称传递效应:基于NARDL模型的研究

Asymmetric Price Transmission from International Grain to Chinese Grain: A Study Based on the NARDL Model

在国际粮价对我国粮价的传递效应研究中,非对称性问题尚未引起学术界的重视。基于此,文章根据2002年1月至2016年3月的月度数据,运用最新发展的NARDL模型考察了国际粮价对我国粮价的非对称传递效应。研究结果表明:在大米、小麦、玉米和大豆等粮食国际价格对其国内价格的传递过程中,既存在着传递程度上的非对称性,又存在着传递速度上的非对称性。其中,大米、小麦、玉米和大豆等粮食国际价格上涨的传递程度与传递速度均大于其国际价格下跌的传递程度与传递速度。文章研究结论对于理解国际粮价对我国粮价的传递效应提供了新的认识与见解。

With regard to research on the price transmission from international grain to Chinese grain, academiccircles haven＇t paid much attention on asymmetry. Based on this, the paper collects monthly data from January2002 to March 2016 and uses the newly developed NARDAL model to investigate asymmetric price transmissionfrom international grain to Chinese grain. The results show that, for the prices of the rice, wheat, corn, soy-beans and so on, in the price transmission processes of international grain to Chinese grain, asymmetry existsnot only in the transmission degree, but also in the transmission speed. In addition, compared to the drop in in-ternational grain prices, the degree and speed of price transmission are both greater when international grainprices rise. The conclusion will provide new understandings and insights for price transmission from internation-al grain to Chinese grain.