最低收购价政策对小麦市场价格波动影响的实证分析

Empirical Analysis on Impact of Minimum Purchasing Price Policy on Price Volatility of Wheat in China

为了估计最低收购价政策对小麦市场价格波动的直接影响,利用2009年1月4日至2016年12月30日小麦现货与期货价格日数据,通过将政策作为虚拟变量引入GARCH模型,实证研究政策对平抑小麦期现货价格波动的作用,并从政策执行区和非执行区的视角比较政策在不同地区维护小麦市场价格稳定方面的效果,对模型结果和价格传导路径进行验证和分析。结果表明,政策对小麦期现货价格波动产生了明显的影响,能够显著降低小麦现货市场的波动程度,并通过期现货市场间的联系对期货市场产生影响,但政策对期货价格波动的作用方向则相反;政策在平抑小麦价格波动方面的效果具有空间上的溢出效应,通过区域间的市场联系从执行区传导到非执行区,导致非执行区价格波动程度的下降。

In order to evaluate direct influence of minimum purchasing price policy on the price fluctuation of wheat in China,this paper employs the spot and futures wheat prices data between January 4 th,2009 and December 30 th,2016 to empirically study the impact of policy on stabilizing the volatility of spot and futures wheat prices by using the policy as dummy variable into the GARCH model and compares the effect of policy execution in maintaining stability of wheat prices in different areas from the perspective of policy execution area and non-policy execution area.Finally this paper tests and analyzes the model result and price transmission path.The result shows that policies have obvious influence on the fluctuation of spot and futures wheat prices,which can significantly lower the wheat spot price volatility and affect the futures market through the connection between spot market and futures market.However,the effect of policy on fluctuation of futures price is reverse.The price-stabilizing effects of the policy has a spillover effect in the space.Transformation of regional market connection from policy execution area to the non-policy execution area will cause the decrease of price volatility in the non-policy execution area.