国际大宗农产品定价机制影响中国农产品价格的传导机理研究

利用2005-2015年的月度数据,选取小麦、玉米、大豆样本数据,采用协整检验、因果检验、VAR模型检验和脉冲响应函数,考量国际大宗农产品定价机制影响中国农产品期货市场价格和现货市场价格的传导机理.结果发现:小麦、玉米和大豆的国际定价机制、国内价格以及传导路径之间存在长期稳定的均衡关系;Granger因果关系检验表明,货币供应量传导渠道和汇率传导渠道的引导性强于贸易传导渠道;VAR模型检验结果显示,货币供应量传导渠道的通畅性比汇率传导渠道和贸易传导渠道更为显著;脉冲响应函数进一步证实了从长期来看,不同类型的农产品通过不同传导渠道对国内期货市场价格和现货市场价格的冲击存在相似与不同之处.

Research on the Transmission Principles of Pricing Mechanisms of International Bulk Agricultural Commodities Affecting Prices of Chinese Agricultural Products

Monthly data of wheat,corn and soybean from 2005 to 2015 is selected as the re-search obj ect.Transmission principles of pricing mechanisms of international agricultural com-modities affecting Chinese agricultural markets is discussed using cointegration test,Granger cau-sality test,VAR model and impulse response function.The result indicates that there is a long-term stable equilibrium among the international pricing mechanism,the domestic price and the transmission path of wheat,corn and soybean.The result of Grange causality test shows that the transmission paths of money supply and exchange rate are stronger than the transmission path of trade.VAR model test indicates that the path of money supply is more unobstructed than the path of exchange rate or the trade.Furthermore,the result confirms in the long run that the sim-ilarities & differences with impact on price of different agricultural products from each path by impulse response function.