开放经济条件下我国农产品价格动态调整的门限协整研究  

Threshold Co-integration on Agricultural Product Prices Dynamics in Open Economy

作　　者：焦娜[1] 

机构地区：[1]湖南农业大学经济学院,湖南长沙410128

出　　处：《经济经纬》2014年第2期120-125,共6页Economic Survey

基　　金：教育部人文社会科学研究项目(10YJA790129);湖南省自然科学基金青年基金项目(12JJ6072);湖南省教育厅科学研究项目(11C0658)

摘　　要：笔者采用我国2005年～2012年月度数据,使用非线性的门限协整方法,考察了开放经济条件下我国农产品价格的波动特征和长期趋势,估计了人民币汇率和我国农产品市场价格的双门限误差修正模型,并对其门限效应进行了检验.模型回归结果证实了短期农产品价格超调后两者长期均衡路径的非线性特征：当两者的偏离达到一定门限水平时,人民币汇率和农产品市场价格倾向于从相反的方向迅速向长期均衡状态调整;当这一偏离低于门限水平时,市场自发恢复能力有限,需要政府干预以稳定农产品价格.Under the condition of open economy, the paper explores short-run dynamic behavior and long-run trend of price in domestic agricultural products by a double-threshold vector error correction model with 2005 -2012 monthly data. The empirical result shows the non-linear adjustment in the secular trend and estimates the threshold effect. The regression of this model confirms the nonlinear rela- tionship between domestic agricultural price and RMB exchange rate in a long-run equilibrium. When the difference between agricultur- al price and RMB exchange rate is up to the threshold, the response of both agricultural price and RMB exchange rate will change sharply with the opposite direction and return to a long-run equilibrium. However, if it is lower than the threshold, the market force will be too limited, which will requires the government intervention.

关 键 词：汇率 农产品价格 门限协整 门限误差修正模型 

分 类 号：F304.2[经济管理—产业经济]