国际粮价对国内粮价的影响:基于不确定性视角的分析

Impact of International Grain Prices on Domestic Grain Prices:An Analysis from the Perspective of Uncertainty

国际粮价对国内粮价的影响与国际市场的不确定性息息相关。根据国际粮食期货价格数据,运用GARCH模型测算了国际粮食市场的不确定性,构建非线性误差修正模型研究不确定性程度高与低状态下国际粮价对国内粮价的影响。实证结果表明,国际粮价对国内粮价的影响存在非对称性:对于大米、小麦、大豆而言,不确定性高时,国际价格对国内价格的影响比较大;对于玉米而言,不确定性低时,国际价格对国内价格的影响则比较大。该结论在一系列稳健性检验之后仍然成立。

The impact of international grain prices on domestic grain prices is closely bound up with the uncertainty of international market.Based on international grain futures price data,the GARCH model is used to calculate the uncertainty of international grain market.Then a nonlinear error correction model is constructed to study the influence of international grain prices on China s grain prices with a high and low level of uncertainty respectively.The empirical results show that the impact of international grain prices on domestic grain prices is dissymmetric.For rice,wheat and soybean,international grain prices have a greater impact on domestic prices when the level of uncertainty is high.As for maize,the impact is relatively larger when the level of uncertainty is low.After a series of robustness tests the conclusion still holds.