国际粮食价格对中国粮食价格的非对称传导——基于门限自回归模型的研究  

Asymmetric Transmission of World Grain Price to Domestic Market in China——A Study Based on Threshold Auto-regression Model

作　　者：韩磊[1] 

机构地区：[1]中国社会科学院农村发展研究所,北京100732

出　　处：《当代经济科学》2018年第2期78-84,共7页Modern Economic Science

基　　金：国家社科基金青年项目"我国粮食价格波动与政府调控政策研究"(14CJY051);人社部留学人员科技活动择优资助项目"中国粮食调控政策对国际粮价向国内粮价传导的影响研究"

摘　　要：本文利用1998—2015年月度价格数据,借助门限自回归模型研究了国内外粮价的非对称性传导关系。研究表明:稻谷、玉米和大豆的国内外价格具有非对称协整关系;长期来看,国际稻谷价格变动的45.1%、玉米价格变动的52.8%、大豆价格变动的67.6%会分别传导到国内市场,但短期内只有稻谷国际价格的变动会迅速传导到国内市场。价格传递具有非对称性,当国际价格下降时,减少50%偏差玉米和大豆分别需要20.1个月和15.1个月,但价格上升时长期调整速度则不显著。为了降低国内粮价波动及国际市场的影响,需要从价格、成本及品质等方面不断提高国内粮食产业竞争力。Based on the commodity-specific monthly data of 1998-2015 and the Threshold Autoregression model,this paper examines the asymmetry transmission between world prices and domestic grain prices.The results show the evidence of long-run relationship of world prices and domestic prices for rice,maize and soybean,45.1%of a change in the world price has transmitted to domestic price for rice,52.8% for maize and 67.6% for soybean.When there is any change of world prices,immediate impact on the possible changes to China domestic rice prices appears but there is no immediate impact on domestic maize and soybean prices.When the world prices are decreasing,the time taken to correct half of the deviation is 20.1months for maize and 15.1 months for soybean,but there is no significant adjust when the world prices are increasing.The transmission between world prices and domestic prices is mainly caused through trade and substitution in consumption.

关 键 词：粮食市场 价格传导 非对称性 门限自回归模型 

分 类 号：F323.7[经济管理—产业经济]