棉花双关税后进口价格、期货价格与现货价格的感知及传导研究——基于VAR模型

Research on Perception and Transmission of Cotton Import Price after Punning Tax,Future Price and Spot Price——Based on VAR Model

随着我国棉花市场开放程度逐渐提高,探索国内外棉花价格感知和传导机制也愈显重要.国内外棉花价格传递必然受进出口贸易政策的影响,研究征收双关税后的棉花进口价格与国内期、现货价格之间的传递效应,对完善和优化我国棉花价格传导和形成机制更具现实意义.通过VAR模型、格兰杰因果检验、脉冲响应和方差分解等方法检验和探讨三者间的价格感知及传导机制.研究结果表明:征收双关税后的棉花进口价格、国内棉花期货和现货价格三者存在长期协整关系;双关税能够在一定程度上削弱国际棉价对国内棉价的传递能力,双关税后棉花进口价格不是国内棉价的Granger原因;三者在不同时期受到的冲击方向、力度和时间均有差异,据此提出优化国内棉花市场价格感知与传递机制的对策和建议.

With the gradual improvement of China’s cotton market openness,it is more and more important to explore the perception and transmission mechanism of domestic and foreign cotton prices.The transmission of domestic and foreign cotton prices is bound to be affected by the import and export trade policies.Studying the transmission effects of imported cotton prices after the Punning Tax and domestic cotton futures and spot prices is of more practical significance for improving my country’s cotton price formation and transmission mechanism.This paper uses VAR model,Granger causality test,impulse response and variance decomposition.The results show that there is a long-term cointegration relationship among cotton import price after Punning Tax,domestic cotton futures price and spot price;Punning Tax policy can weaken the transmission ability of international cotton price to domestic cotton price to a certain extent.The import price of cotton after Punning Tax is not the Granger cause of domestic cotton price;the impact direction,intensity and time of the three are varying in different periods.Based on these conclusions,the countermeasures and suggestions to optimize the price perception and transmission of domestic cotton market are put forward.