我国大豆和豆油市场纵向关联价格传递研究

Study on the Vertical Price Transmission of Soybean and Soybean Oil Market in China

基于1995年1月~2014年12月我国大豆、豆油月度价格数据,在分析"大豆批发价格—豆油批发价格—豆油零售价格"长期均衡关系的基础上,利用格兰杰因果检验分析价格传递路径,并应用脉冲响应函数和方差分解分析纵向价格在面对短期冲击时的反应时间和传递强度。研究结论表明:大豆产业链上的价格呈反向传递,属于下游拉动上游的传递机制,豆油零售价是豆油批发价变化的原因,豆油批发价是大豆批发价变化的原因;同时存在着价格传递的不对称,豆油批发商和零售商存在一定的市场力量,在大豆产业链中占据主导地位。在短期传递速度上,大豆产业链的下游价格对上游价格的传递速度均滞后一期,并表现为正向影响;短期传递强度存在非对称性,豆油批发价的传递强度最高。

Based on the monthly prices of soybean and bean oil from January 1995 to December 2014, this paper studies the long-run equilibrium relationship of the wholesale price of soybean-the wholesale price of bean oil-the retail price of bean oil. The Granger Causality Test is applied to analyze the price transmission path, and impulse-response function and vari- ance decomposition are also used to analyzes the response time and the delivery intensity of vertical price when it encounters short-term impact. The results reveal that the prices of the soybean industry chain exhibits a reverse conduction relationship, which indicates that the retail price of bean oil causes the change of its wholesale price, and then causes the wholesale price of soybean changes. The price in soybean industrial chain exhibits reverse transmission, which belongs to the downstream-drivesupstream transmission mechanism, the retail price of soybean oil is the reason of the variation of wholesale price, and the price of soybean oil is the reason of the variation of soybean wholesale price. In short term, the speed of price conduction form downstream upstream lags for one term, and the effect is positive; the conduction intensity is asymmetric： the wholesale price of bean oil is the highest.