中国小宗农产品价格波动的金融化因素分析——基于大蒜和绿豆价格数据的实证研究

Financialization in Price Fluctuation of Chinese Small-scale Agricultural Commodities——An Empirical Study Based on the Price Data of Garlic and Mung Bean

本文利用2004年1月至2016年12月大蒜和绿豆价格波动的月度数据，选取货币流动性、农产品期货交易额和国际热钱变量构建TVP—SV—VAR模型，分析了大蒜和绿豆价格受金融化因素的影响，并利用价格分解模型测算出大蒜和绿豆的投机性价格。研究表明，货币流动性对两种小宗农产品价格都具有显著的拉动作用，且影响的时变性较显著；农产品期货交易额对大蒜价格的影响具有结构性突变，对绿豆价格表现出负向影响，长期中大宗农产品期货的交易活动对大蒜价格波动具有显著的溢出效应：国际热钱对两种小宗农产品价格波动的影响较小．且存在结构性突变；大蒜和绿豆的价格波动主要表现为投机性价格的大幅变化．而基础价值变化的贡献率较小。

Based on the monthly data of Chinese garlic and mung bean prices from January 2004 to December 2016,this paper estimates a TVP-SV-VAR model to analyze the financialization in price fluctuation. Monetary liquidity, value of agricultural futures trading, and international hot money are selected as the main financial factors.The price analytical method is applied to calculate the speculative price of garlic and mung bean.The results show that the monetary liquidity significantly increases the price of garlic and mung bean with significant variance over time.The impact of agricultural futures on garlic price has significant structural breaks.The value of agricultural futures trading has a significant negative impact on mung bean price and a spillover effect on garlic price fluctuations in the long term.The international hot money has weak effect on the price fluctuation of garlic and mung bean.