石油价格变动对我国粮食价格影响的实证研究  

An Empirical Study of the Impact of Crude Oil Price Changes on China's Food Price

作　　者：董秀良[1,2] 帅雯君[3] 赵智丽[1] 

机构地区：[1]吉林大学管理学院,吉林长春130022 [2]华侨大学数量经济研究院,福建厦门361021 [3]浙江大学经济学院,浙江杭州310058

出　　处：《中国软科学》2014年第10期129-143,共15页China Soft Science

基　　金：国家自然科学基金面上项目(71373100);吉林省软科学计划项目(20120694);华侨大学中央高校基本科研业务费资助项目(JB-SK1131);吉林大学985平台

摘　　要：为了把握石油价格上涨对我国主要粮食品种的影响,本文利用2004年至2013年间国际原油期货价格与我国大豆、玉米、小麦期货价格的日度交易数据,采用新近提出的STCC-MGARCH和DSTCC-MGARCH模型实证考察了国际石油价格与我国粮食价格的相关性及其区制转移特征,研究发现:在三种粮食品种中,受石油价格上涨冲击,大豆、玉米、小麦价格与石油价格间的相关系数均表现出不同程度的区制转移特征;在区制转移点前后,大豆、玉米与石油价格间的相关系数发生了显著的提高,且玉米价格与石油价格的相关系数增幅远超过大豆,而麦价格与石油价格之间相关系数和增幅均较小,这说明我国玉米价格受国际石油价格上涨冲击的影响最大;玉米价格之所以受石油价格上涨冲击最大,主要是石油价格上涨引致的乙醇汽油产能扩张对玉米需求急剧增加所致;由于玉米价格上涨会对其它粮食品种生产和消费产生挤出效应和效应,对此应该引起足够的警惕。In order to grasp the effects of rising crude oil price on the main grain varieties in China, This paper empirically explores the daily transaction data of international oil futures, domestic soybean, corn and wheat futures from 2004 to 2013. By using the recently proposed STCC-MGARCH and DSTCC-MGARCH Model, We examine the correlation between international oil price and domestic food price as well as the characteristics of the zone system transfer. The study finds that among the three grain varieties, correlation coefficients of the price of soybean, corn and wheat to oil price all show varying degrees of characteristics of regime switching characteristics when affected by rising oil price. In the area before and after the switching point, the correlation coefficients of the price of soybean, corn and wheat to oil price are significantly raised, among which the increase of coefficient between corn price and oil price grows is much more than that of soybean, and the coefficient between wheat price and oil price is small and also growing much less. These show that domestic corn price is most affected by international oil price, and its attribute of the energy characteristics is most significant. The main reason why the corn price is most affected by rising oil price is that the capacity expansion of ethanol gasoline caused by rising oil price would lead to sharply increased demand of corn. As the increase of corn price would cause extrusion effects and substitution effect on the production and consumptions of other grain varieties, we should give enough vigilance.

关 键 词：国际石油价格 粮食价格 动态影响 平滑转移条件相关多元GARCH模型 

分 类 号：F323.7[经济管理—产业经济]