国内外粮食价格波动的传导效应研究——基于VAR模型的产业链视角的分析  

Study on Food Price Transmission Effect of International and Domestic Food Price Volatility——From the Perspective of Industrial Chain Based on VAR Model

作　　者：王昕[1] 许平祥[1] 任彦军 

机构地区：[1]天津商业大学经济学院 [2]德国基尔大学农学院

出　　处：《价格理论与实践》2017年第12期90-93,共4页Price:Theory & Practice

基　　金：天津商业大学青年基金项目(编号:151104)的阶段性成果

摘　　要：本文基于产业链和国际环境视角,利用2010年1月到2016年12月粮食产业链各环节和世界市场粮食价格指数月度数据,采用格兰杰因果关系检验、VAR模型基础上的广义脉冲响应函数及方差分解揭示粮食价格波动下不同利益主体价格传导效应。结果表明:长期来看,国际粮食价格和国内粮食产业链上中游价格存在协整关系,整条粮食产业链价格传导效应主要表现为需求拉动型,国际化的粮食市场带动了国内粮价的产业链传导。短期内粮食价格波动沿着产业链和国际市场的传递较为灵敏,世界市场粮食价格的冲击效果最为明显,生产资料冲击贡献较小。This paper analyzed food price transmission effect of different stakeholders from the perspective of industry chain and international environment, using month data of food chain and world market food price from January in 2010 to December in 2016, by the application of VAR model, and impulse response function and variance decomposition. The analysis results show that there is a co-integration relationship between international food prices and domestic food industry chain aggregate price in the long term. Transmission effect of the whole food chain price is demand-pull and international market led to transmission of the domestic food industry chain. In the short term, the fluctuation of food price is more sensitive along the industrial chain and international market. The impact of food price in the world market is the most obvious, and the contribution of production price is small.

关 键 词：粮食价格波动 产业链 世界市场粮食价格指数 传导效应 

分 类 号：F313.7[经济管理—产业经济]