国际大米市场价格波动对国内市场的传递效应——基于误差修正模型的估计

基于2006年2月—2011年3月的月度数据,对国际大米价格波动与中国国内大米价格波动的长期均衡关系进行检验,分析国内大米价格波动的主要影响因素及其程度,考察国内外大米市场价格波动的时滞效应与调整效应,并从外贸途径和期货途径测度国外大米价格波动对国内大米价格波动的传导效应,基本结论是:国际大米价格波动与国内大米价格波动存在长期稳定的均衡关系,长期内国内大米价格波动主要由通货膨胀带动,且价格传递具有明显的时滞效应和调节效应。脉冲响应函数和方差分解方法实证结果表明,国际大米价格通过外贸渠道和期货渠道对国内大米价格产生影响,其中期货途径对国内大米价格波动的传导效应更显著。

Transmission Effects of International Rice Price on Domestic Market:Based on ECM Model

Based on monthly data from February of 2006 to March of 2011,long-term equilibrium relationship between international rice price fluctuations and domestic price are tested,main influencing factors and extent of domestic rice price are analyzed,lag effects and adjustment effects are explored,and transmission effects on domestic price market are measured.The conclusions are as follows:there is a long-term stable equilibrium relationship between international and domestic price fluctuations,domestic rice price fluctuations are mainly driven by inflation in the long run,while price transmission has clear time lag effects and adjustment effects.Tests with impulse response functions and variance decomposition show that international rice price through foreign trade and futures channels exert impact on domestic rice prices,of which futures channel has more significance for domestic rice price volatility transmission effect.