基于VAR模型的玉米·小麦和大豆价格波动的相关性研究  

Study on the Correlation between Price Fluctuation of Corn,Wheat and Bean Based on VAR Model

作　　者：肖芝露 尹玉良[1] XIAO Zhi-lu;YIN Yu-liang(School of Economics,Beijing Technology and Business University,Beijing 100048)

机构地区：[1]北京工商大学经济学院,北京100048

出　　处：《安徽农业科学》2018年第24期224-227,共4页Journal of Anhui Agricultural Sciences

摘　　要：通过建立VAR模型,并进行脉冲响应分析和方差分解,研究了玉米、小麦和大豆3种粮食的价格波动关系。结果表明:各粮食价格之间存在明显的格兰杰因果关系;各粮食价格之间具有显著相关性;各粮食价格对他种粮价贡献度不同。针对以上研究结果,提出供给侧改革过程中应注意结构变化对粮食供需及价格的影响,设立玉米库存警戒线,优化我国各粮作物种植结构以及增强市场监控作用,防范因粮食价格波动而带来的风险。Based on the VAR model and impulse response analysis and variance decomposition, the price fluctuation relationship of thine kinds of grain, corn, wheat and bean,was studied. The results showed that： there is a clear Granger causality between the grain prices, and there is a significant correlation between the grain prices, and the contribution of grain prices to grain prices is diflerent, In view of the above researeh lesuhs, we should pay attention to the influence of structural change on grain supply and demand and price in the process of supply side reform, set up a corn stock alert line, optimize the planting structure ot＇ grain crops in China and enhance the role of market monitoring, so as to prevent the risk caused by the fluctuation of grain price.

关 键 词：VAR模型 玉米价格 小麦价格 大豆价格 格兰杰因果检验 

分 类 号：S-9[农业科学]