金融因素与中国粮食价格波动的实证研究  

An Empirical Study on Financial Factors and Grain Price Volatility

作　　者：谷秀娟[1] 段瑞君[1] 汪来喜[1] 

机构地区：[1]河南工业大学经贸学院,河南郑州450001

出　　处：《经济经纬》2013年第1期144-148,共5页Economic Survey

基　　金：国家社会科学基金(10BJY111);河南工业大学基金课题(10XPT006);郑州市创新型科技人才队伍建设工程

摘　　要：本文使用VEC模型和EARCH模型,实证研究了金融因素与粮食批发价格指数之间的关系。通过传导分析,我们发现汇率、货币供应量M2和外汇储备在短期和长期表现出不同传导路径。根据风险分析显示,在汇率、货币供应量M2和外汇储备三个金融风险因素中,汇率变动对粮价的影响最为显著,同时,根据信息冲击曲线,说明金融因素具有使粮食价格波动加大的非对称效应。This paper makes a quantitative analysis on the relation between financial factors and grain priee volatility with VEC model and EARCH model. It is found that there are different pathways in the short-term and long-term among the exchange rate, money sup- ply M2 and foreign exchange reserves. According to risk analysis, the most significant element is exchange rate among the exchange rate, money supply M2 and foreign exchange reserves. At the same time, the information impact curve shows that financial factors have asymmetric effect to increase the volatility of grain price.

关 键 词：粮食价格 EARCH模型 VEC模型 

分 类 号：F830[经济管理—金融学]