Study on the dynamic transmission effect of international agricultural prices on domestic agricultural products prices

ZHENG Yan1 DING Cunzhen1

(1.College of Economics and Management, China Agricultural University)

【Abstract】This paper analyzed the dynamic transmission effect of international agricultural prices on domestic agricultural products price through TVP-VAR model and DCC-GARCH model which were based on the monthly data of international and domestic agricultural products price from January 2001 to June 2017 from multiple perspectives. The results show that the transmission effect of the price of international agricultural products on the price of domestic agricultural products is different between different varieties of agricultural products and has obvious time variability. The implementation of the price policy of agricultural products reduces the transmission effect of international agricultural prices on domestic agricultural products prices, and the effects of different agricultural policies are different. The effect of the price of international agricultural products on the price of domestic agricultural products is different in different trade intensity. The larger the scale of agricultural trade is, the stronger the transfer effect of international agricultural prices on domestic agricultural prices is. The transmission effect of international agricultural prices on domestic agricultural products is asymmetric. The price of domestic agricultural products is more sensitive to the rise of international agricultural prices. The higher the openness of agricultural products market is and the greater the volume of trade is, the higher the correlation between domestic and international agricultural products prices is. The implementation of agricultural policies can affect the correlation between domestic and international price fluctuations of some agricultural products.

【Keywords】 agricultural product price; dynamic transfer; TVP-VAR model; DCC-GARCH model; time variability;

【DOI】

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(Translated by DU Ruilong)

    Footnote

    [1]. ① The price support policy refers to that subsidy supports are provided to farmers and agricultural products through measures such as price policy and market intervention, and subsidy costs are jointly undertaken by government finance (i.e., taxes paid by taxpayers) and consumers of agricultural products. [^Back]

    [2]. ② The co-movement effect of agricultural products price in this paper refers to the transmission effect of international agricultural prices on domestic agricultural prices, and the transmission effect of domestic agricultural prices on international agricultural prices is not covered in analyses in this paper. [^Back]

    [3]. ① In order to save space, only model estimation results of wheat are reported in this paper. The other results are available upon request. [^Back]

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This Article

ISSN:1002-4670

CN: 11-1692/F

Vol , No. 08, Pages 47-64

August 2019

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Article Outline

Abstract

  • Introduction
  • 1 Literature review
  • 2 Theoretical framework and research hypothesis
  • 3 Model construction and data source
  • 4 Empirical analysis
  • 5 Conclusion and inspiration
  • Footnote

    References