国内金融市场对农产品价格横向传导机制研究——基于分布滞后模型的实证分析  

Horizontal Transmission Mechanism of Agricultural Product Prices in Domestic Financial Market—An Empirical Analysis Based on Distribution Lag Model

作　　者：魏同洋 王兵兵 徐磊[1] Wei Tongyang;Wang Bingbing;Xu Lei(Agricultural Information Institute,Chinese Academy of Agricultural Sciences,Beijing 100081;School of Economics,Beijing Technology and Business University,Beijing 100048)

机构地区：[1]中国农业科学院农业信息研究所,北京100081 [2]北京工商大学经济学院,北京100048

出　　处：《农业展望》2023年第10期53-59,共7页Agricultural Outlook

基　　金：中国农业科学院科技创新工程(CAAS-ASTIP-2023-AII)。

摘　　要：近年来,随着农产品价格与金融市场的关联性愈来愈强,农产品价格波动的不确定性大大加剧。本研究选取农产品批发价格200指数与农产品价格波动相关的国内总需求、货币市场、股票市场、房地产市场四类金融因素进行横向传导机制分析。通过协整检验和分布滞后模型对2017年至2021年2月的月度数据分析发现:农产品批发价格与国内市场需求、货币市场、股票市场、房地产市场存在长期均衡关系;国内市场需求、货币市场、房地产市场的波动可以传递到国内农产品价格,但没有表现出时滞性。最后,从国内货币供给量、期货市场等方面提出了应对农产品价格波动的政策建议。In recent years,with the increasing correlation between agricultural prices and financial markets,the uncertainty of agricultural price fluctuations has been greatly aggravated.In this paper,the agricultural product wholesale price index and four financial factors related to the fluctuation of agricultural prices(including domestic aggregate demand,money market,stock market and real estate market)were selected for horizontal transmission mechanism analysis.Through the cointegration test and distribution lag model to analyze the monthly data from 2017 to February 2021,it was found that there is a long-term equilibrium relationship between the agricultural product wholesale price index and the domestic aggregate demand,money market,stock market and real estate market;fluctuations in domestic aggregate demand,money market and real estate market can be transmitted to domestic agricultural prices,but there is no time lag.Finally,some policy suggestions were put forward to deal with the price fluctuations of agricultural products from the aspects of domestic money supply and futures market.

关 键 词：农产品价格 金融化 传导机制 分布滞后模型 

分 类 号：F323.7[经济管理—产业经济] F832