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国际农产品价格对国内农产品价格动态传递效应研究

郑燕1 丁存振1

(1.中国农业大学经济管理学院)

【摘要】本文选取2001年1月—2017年6月国内外农产品价格月度数据,利用TVP-VAR模型和DCC-GARCH模型分品种从不同政策背景、不同贸易强度以及不同价格波动情况等多视角分析了国际农产品价格对国内农产品价格的动态传递效应。结果显示:国际农产品价格对国内农产品价格的传递效应在不同品种之间存在差异,且具有明显的时变性;农产品价格政策的实施会降低国际农产品价格对国内农产品价格的传递效应,但不同农产品政策的影响存在差异;贸易规模越大,国际农产品价格对国内农产品价格的传递效应越强;国际农产品价格对国内农产品价格的传递存在非对称性,国内农产品价格对国际农产品价格上涨反应更灵敏;从国内外农产品市场关联性上看,农产品市场开放程度越高、贸易量越大,国内与国际农产品价格的关联性越高,而农产品政策的实施会对部分农产品国内与国际价格波动的关联性造成影响。

【关键词】 农产品价格;动态传递;TVP-VAR模型;DCC-GARCH模型;时变性;

【DOI】

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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    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