中美农产品市场整合及其价格传导机制研究——以大豆市场为例

本文在对中国和美国大豆价格进行格兰杰因果关系检验的基础上,运用VAR模型分析中美两国大豆市场动态的相互影响关系,并探索当面临由外部冲击所导致的上涨压力时,两个大豆市场分担上涨压力的贡献情况;之后运用VECH和TARCH模型分析中美大豆价格波动的传导机制和对称性问题。主要结论如下:首先,中美大豆市场相互影响,互为因果,但美国大豆市场对中国大豆市场的冲击要强于中国大豆市场对美国大豆市场的影响,且美国大豆市场应对外部冲击的能力要强于中国。其次,美国大豆价格的波动主要依靠上期自身波动的传导,而中国大豆价格波动更易受外部冲击的影响;美国大豆价格波动趋于收敛,而中国大豆价格波动趋于发散。再次,中美大豆市场的联合波动也主要受外部冲击影响,两个市场的整合机制较为脆弱。最后,中美大豆价格波动均体现出非对称的特征。

Study of Integration and Interaction between Chinese and American Soybeans Markets and Their Prices Transmission Mechanism

Based on the results of Granger causality between Chinese and American soybeans prices,VAR model was firstly employed to investigate the dynamic relationship between Chinese and American soybeans markets and respective dedication to share rising pressure when one of the two markets was affected by positive external shock.Then VECH and TARCH models were utilized to explore volatility transmission mechanism and asymmetry of Chinese and American soybeans prices.The main conclusions are as follows: firstly,the two soybeans markets did affect each other.But the impact of American soybeans market on Chinese soybeans market was stronger than that of Chinese soybeans market on American soybeans market.Besides,the buffering capacity of American soybeans market was more than that of Chinese soybeans market as well.Secondly,current volatility of American soybeans price was mainly from previous itself volatility transmission while that of Chinese soybeans price was primarily affected by previous external shock.And volatility of American soybeans price tends to be of convergence whereas volatility of Chinese soybeans price tends to be of divergence,implying that there was great uncertainty in Chinese soybeans market.Apart from that,the joint volatility of the two markets was chiefly affected by external,suggesting that the integration of the two markets was vulnerable.Lastly,both the fluctuation of Chinese and American soybeans prices showed the feature of asymmetry and it was possibly caused by speculative behavior of channel intermediaries.