国内外大豆价格传递效应与机制研究:基于不同进口依赖时期的视角

A Study on the Effect and Mechanism of Soybean Price Transmission at Home and Abroad:From the Perspective of Different Import Dependence Periods

准确把握粮食价格传递规律是保护农民与消费者利益的关键之义。本文采用布瑞克农产品数据库和全球粮食和农业信息及预警系统提供的周度时间序列数据,使用脉冲响应函数、预测误差方差分解与BEKK-MGARCH模型等方法,剖析了不同进口依赖期内大豆价格由国际市场向中国市场的传递模式。研究表明,相较于高进口依赖期,国内外大豆价格传递效应在低进口依赖期体现得更为明显。具体而言,在低进口依赖期,国内外大豆价格间存在显著的交叉均值效应和交叉波动效应,在高进口依赖期则没有上述现象。本文还发现政策干预和市场势力是解释不同进口依赖期下价格传递差异的机制。在高进口依赖期,临时收储政策减轻了交叉均值效应,目标价格补贴政策和“市场化收购+补贴”政策则降低了交叉波动效应。此外,中国借助市场势力采取价格歧视策略,并根据汇率变动调整进口价格,导致价格传递效应下降。本文研究结论为政府制定稳健贸易政策与规避价格风险冲击提供了有力支撑。

Accurately grasping the law of grain price transmission is the key to protect the interests of farmers and consumers.Based on the weekly data provided by the agricultural product database of the Bric Global Agricultural Consulting Co.,Ltd and the Global Information and Early Warning System,this paper analyzes the transmission mode of soybean price from international market to China market in different import dependence periods by using the methods of impulse response function,variance decomposition of forecast error and BEKK-MGARCH model.The research shows that domestic and foreign soybean price pass-through effect is more obvious in the period of low import dependence than in the period of high import dependence.Specifically,in the period of low import dependence,there are significant cross-mean effect and cross-fluctuation effect between domestic and foreign soybean prices,but these phenomena are not found in the period of high import dependence.This paper also finds that policy intervention and market forces are the mechanisms to explain the difference in price transmission under different import dependence periods.In the period of high import dependence,the temporary storage policy reduces the cross-mean effect,while target price subsidy policy and"market-oriented acquisition+subsidy"policy reduce the cross-fluctuation effect.In addition,China adopts price discrimination strategy with the help of market forces,and adjusts import price according to exchange rate changes,which led to the decline of price pass-through effect.The conclusion of this paper provides strong support for the government to formulate stable trade policies and avoid price risk shocks.