进口快速增长背景下国内外粮食价格波动传递效应实证研究

Research on Grain Price Fluctuation and Transmission Effect In the Background of Import Growth

本文从粮食进口快速增长背景下粮食贸易格局转变视角,利用中国和国际大豆、玉米、小麦和大米的月度价格数据,采用VAR-BEKK-GARCH模型剖析国际粮食价格波动对中国粮食价格的影响和溢出效应。研究发现,国内外大豆价格间存在协整关系,而国内外玉米、小麦和大米价格间不存在显著的协整关系;国内外粮食价格传递效应上存在差异,国内外大豆价格间存在双向的均值和波动溢出效应,国内外玉米价格间存在单向的均值效应和双向的波动溢出效应;国际小麦和大米价格波动传递效应较弱,而中国大米和小麦市场对国际市场具有较强的溢出效应;贸易格局转变形势下,国内外粮价波动溢出效应有所强化,但是粮食市场宏观调控政策一定程度上化解了国际粮食价格波动对中国粮食市场的影响。

This article uses VAR-BEKK-GARCH model to analyze the impact and spillover effect between the international grain price fluctuation and the China’s grain monthly price from the perspective of the change trade patterns in the background of import growth,based on the domestic and foreign price data of soybean,corn,wheat and rice.We found that it exists co-integration relationship between the domestic and foreign price data of soybean,and the rest don’t exist it.Four major kinds of grain have different effects on price pass-through effect between domestic and foreign markets.There are two-way mean and fluctuating spillover effects between domestic and foreign soybean prices,and there is a one-way mean effect and a two-way fluctuation spillover effect between domestic and foreign maize prices.The effect of international wheat and rice price fluctuation is weak,while the rice and wheat markets in China have a strong spillover effect on the international market.In the situation of trade situation changing,the domestic and international food price spillover effect has been strengthened,but the regulation of import and export trade policies eases the international food price fluctuations on the impact of China＇s grain market to a certain extent.