我国粮食价格波动特征实证分析——基于2002～2017年分品种粮食价格月度数据

Empirical Analysis of Fluctuation Characteristics of Grain Price in China——Based on Monthly Data of Price of Different Grain Varieties from 2002 to 2017

基于2002年1月~2017年1月中国粮食市场月度价格指数数据,运用ARCH类模型对入世以来中国粮食价格波动特征进行了实证分析。研究发现,中国粮食价格波动具有显著的异方差性和集簇性,且小麦、玉米、早籼稻、晚籼稻、粳稻前期市场价格波动冲击对后期价格波动的影响会逐渐消失,而前期大豆价格波动冲击对后期价格波动的影响会扩散。除小麦之外,玉米、早籼稻、晚籼稻、粳稻和大豆价格波动均具有显著的非对称性,其中早籼稻、晚籼稻和大豆正向冲击带来的价格上涨对未来价格波动产生的影响大于负向冲击带来的价格下跌对未来价格波动产生的影响,玉米和粳稻负向冲击带来的价格下跌对未来价格波动产生的影响大于正向冲击带来的价格上涨对未来价格波动产生的影响。最后基于实证研究结论并结合实际,提出了稳定中国粮食市场价格的相关政策建议。

Based on the data of price index of China＇s grain market from January,2002 to January,2017,this paper uses theARCH model to analyze the fluctuation characteristics of grain price in China since joining the WTO.The results show thatprice fluctuation of wheat, maize, early indica rice, late indica rice, japonica rice and soybean has significant heteroskedasticityand clustering, and the impact of early price fluctuation of wheat, maize, early indica rice, late indica rice and japonica on thelater price fluctuations will gradually disappear, while the impact of pre-soybean price fluctuations on future price fluctuationswill spread. Except for wheat, price fluctuation of maize, early indica rice, late indica rice, japonica rice and soybean has significantasymmetry, and the effect of rising price of early indica rice, late indica rice and soybean on future price fluctuation isgreater than the impact of falling price on future price volatility. The impact of falling prices of corn and japonica on future pricevolatility is greater than the impact of rising price on future price volatility. Finally, based on conclusions of empirical research,the paper puts forward relevant policy suggestions to stabilize price ofgrain market in our country.