国际大宗商品期货价格与中国农产品批发市场价格关系研究

本文通过Johansen协整和Granger因果关系检验,分析了2005年1月至2011年9月国际大宗商品期货价格指数(CRB)与批发价格指数(AWPI)之间的关系,结果表明:CRB对AWPI具有直接或通过CPI的间接传导作用,滞后期越长,表现越显著,并存在长期均衡关系;VEC模型结果表明短期对CRB与AWPI之间长期均衡偏离可以加以修正。此外,研究发现CRB对批发价格具有预警作用,并从中得出政策性启示。

Relationship Between International Bulk Commodity Futures Price and Chinese Agricultural Products Wholesale Market Price

This paper uses Johansen co-integration test and Granger causality test to analyze the relationship between Commodity Research Bureau Futures Price(CRB) and agricultural products wholesale market price(AWPI) from January 2005 to September 2011.The results show that: 1) CRB(or through CPI) has a direct effect on AWPI,the longer the lag period,the more significant performance shows,and long-term equilibrium relationship exists;2) VEC model reflects that deviates from the long-term equilibrium between CRB and AWPI can be modified in the short-term.In addition,the study finds that CRB plays a warning role for domestic agricultural wholesale market prices.Finally,the paper puts forwards some policy enlightenments from the study.