清代中后期江南市场整合的动态变化及其解释——基于多变量DCC-GARCH模型的分析

Crisis of 19th Century:The Dynamic Change of Market Integration in Jiangnan Area in the Middle and Late Periods of Qing Dynasty and Its Explanation——Based on Dynamic Conditional Correlation GARCH Model

本文利用多变量动态条件相关GARCH模型,基于各地月度粮价数据,测度了江南地区粮食市场一体化水平在18和19世纪的历时性变化,考察了江南市场整合程度的动态变化特征。研究结果表明,江南地区以1815年为拐点,出现了19世纪市场整合危机,该地区粮食市场的整合水平在1815年后显著下降;而且市场整合的19世纪危机也呼应了清代政治经济的宏观变化,特别是"道光萧条"的影响;气候变化是影响市场整合水平动态变化的重要因素。研究还发现,地理距离对江南各地区间的市场整合存在抑制作用,市场整合的省界效应非常显著,省界效应的量化估计相当于290.3公里的地理距离。

Based on dynamic conditional correlation GARCH model,this paper studies the dynamic characteristics of rice market integration in Jiangnan area in the middle and late periods of Qing dynasty(A.D.1738-1910).It demonstrates that there are a notable change around the year 1815 and a crisis of 19 th century in the market integration of Jiangnan area.The market integration went through a significant downside.The crisis of 19 th century in market integration also echoes macro political and economic situation,particularly the effect of"Daoguang Depression".And climate change is also one of the important factors affecting the change of market integration.It turns out geographical distance matters in regional market integration:ceteris paribus,the more distant,the less integrated.Provincial border effect is found very significant and equals to about 290.3 kilometers geographical distance.