国际粮食价格对中国粮食价格的非对称性影响研究

doi:10.18402/resci.2016.05.05

摘要/Abstract

摘要：

随着经济全球化与中国粮食市场开放程度的不断提高,国内外粮食价格的关联性日益增强,然而国际粮食价格的上涨和下跌对国内粮食价格的影响作用机制存在差异。本文基于时变概率马尔科夫区制转移（MS-TVTP）模型,实证分析在粮食市场的不同运行阶段下,中国的合成粮食价格以及小麦、大米、大豆、玉米四类粮食价格受到国际价格的非对称性影响及其差异性。研究发现国际粮食价格通过贸易途径对国内粮食价格的影响存在非对称性效应,国内粮食价格倾向于对国际粮食价格上涨时的波动产生过度反应,而对国际粮食价格下跌时的波动反应不足。大豆受到国际价格影响最为显著,其正向影响作用在国内大豆价格上涨阶段大于下跌阶段;小麦、大米、玉米受到的非对称性影响形式因贸易形势、自给率等决定的价格传递形式不同而呈现差异。大豆低自给率和较高外贸依存度要求政府需健全大豆市场的政策保障,合理利用国际大豆价格的影响,规避国际市场异常波动对国内市场价格的冲击。

关键词: 国内外粮食价格, 非对称性影响, MS-TVTP模型, 时变转移概率

Abstract:

With the continuous improvement of economic globalization and China's grain market open degree, the relevance between the international grain prices and the domestic grain prices is enhanced. However, there are differences between the influence mechanisms of the international grain prices on the domestic grain prices when the international grain prices upturn or downturn. Based on the Markov-switching model with time-varying transition probabilities （MS-TVTP models）,we studied the asymmetric impacts that international prices exert on domestic prices for grain,wheat,rice,soybean and corn in China,and differences between each asymmetric impact when the prices of international and domestic grain markets are at different stages. We found asymmetric effects in the impact of international grain prices on domestic grain prices through a trade approach. Specifically,domestic grain prices tend to overreact to international grain prices when domestic grain prices upturn,and tend to underreact to international grain prices when domestic grain prices downturn. The domestic price of soybeans is the most significantly impacted by international soybean prices among the four grain categories,wheat,rice,soybean and corn,and shows stronger positive influence when the domestic soybean price upturns than downturns. Due to the fact that the price pass-through patterns of different grain categories are determined by various trade situations and different self-sufficiency rates,the asymmetric impacts on domestic prices from the international prices of wheat,rice and corn are different. Features of the soybean market （low self-sufficiency rate and high ratio of dependence on the foreign trade） require governments to improve and implement policies in order to protect the domestic soybean market. Any improvements should also utilize the impact of international soybean prices on domestic soybean prices rationally in order to avoid abnormal fluctuations that the international soybean market causes in the domestic soybean market.

Key words: domestic and international grain prices, asymmetric impacts, MS-TVTP model, time-varying transition probabilities

彭佳颖, 谢锐, 赖明勇. 国际粮食价格对中国粮食价格的非对称性影响研究[J]. 资源科学, 2016, 38(5): 847-857.

PENG Jiaying,XIE Rui,LAI Mingyong. A study on the asymmetric impacts of international grain prices on domestic grain prices in China[J]. Resources Science, 2016, 38(5): 847-857.

图/表 6

图1

表1

图2

表2

表3

MS-TVTP模型参数估计结果"

	0区制				1区制				对数极大似然值
	参数	估计值	标准差	p值	参数	估计值	标准差	p值	对数极大似然值
粮食	$μ G 0$	-1.803 7	0.346 5	0.000 0	$μ G 1$	10.306 8	0.631 2	0.000 0	-412.616 7
	$η G 0$	0.133 9	0.011 6	0.000 0	$η G 1$	0.516 7	0.058 0	0.000 0
	$σ G 0$	14.862 0	1.880 6	0.000 0	$σ G 1$	7.081 3	2.329 0	0.002 8
小麦	$μ W 0$	11.833 2	1.568 4	0.000 0	$μ W 1$	103.595 1	29.551 0	0.000 6	-422.646 9
	$η W 0$	-0.987 6	0.320 6	0.002 5	$η W 1$	3.690 6	2.118 1	0.083 7
	$σ W 0$	11.833 2	1.568 4	0.000 0	$σ W 1$	103.595 1	29.551 0	0.000 6
大米	$μ R 0$	2.589 7	1.476 4	0.079 4	$μ R 1$	-4.582 0	0.311 4	0.000 0	-516.018 9
	$η R 0$	0.042 6	0.036 9	0.248 5	$η R 1$	0.107 0	0.008 5	0.000 0
	$σ R 0$	13.477 4	0.076 9	0.000 0	$σ R 1$	1.934 6	0.128 2	0.000 0
大豆	$μ S 0$	-4.357 2	0.580 2	0.000 0	$μ S 1$	2.431 5	1.654 9	0.141 8	-525.985 7
	$η S 0$	0.312 5	0.050 4	0.0000	$η S 1$	0.438 5	0.043 3	0.000 0
	$σ S 0$	3.230 3	0.171 9	0.000 0	$σ S 1$	13.286 3	0.085 6	0.000 0
玉米	$μ C 0$	6.693 6	3.620 3	0.066 6	$μ C 1$	-3.183 3	1.246 4	0.011 7	-515.301 9
	$η C 0$	0.558 4	0.144 5	0.000 2	$η C 1$	0.038 6	0.025 9	0.139 0
	$σ C 0$	22.108 7	6.376 2	0.000 7	$σ C 1$	72.574 8	16.314 8	0.000 0

表3

表4

MS-TVTP模型转移概率累积函数参数估计结果"

	P₀₀				P₁₁
	参数	估计值	标准差	p值	参数	估计值	标准差	p值
粮食	$ω G 0$	2.146 6	0.312 2	0.000 0	$ω G 1$	-2.305 8	1.222 2	0.061 3
粮食	$θ G 0$	1.809 7	3.212 2	0.574 1	$θ G 1$	26.746 2	21.177 9	0.208 7
小麦	$ω W 0$	2.368 0	0.384 5	0.000 0	$ω W 1$	-65.125 4	-	1.000 0
小麦	$θ W 0$	0.706 7	4.251 3	0.868 2	$θ W 1$	643.621 4	-	1.000 0
大米	$ω R 0$	2.740 1	0.457 5	0.000 0	$ω R 1$	-2.210 7	0.477 4	0.000 0
大米	$θ R 0$	2.230 6	5.519 0	0.686 1	$θ R 1$	2.535 7	6.721 0	0.706 0
大豆	$ω S 0$	2.446 9	0.608 1	0.000 1	$ω S 1$	-2.631 8	0.561 7	0.000 0
大豆	$θ S 0$	-11.326 4	11.210 5	0.312 3	$θ S 1$	5.471 3	6.990 6	0.433 8
玉米	$ω C 0$	1.366 0	1.132 1	0.229 7	$ω C 1$	-1.881 5	0.490 8	0.000 2
玉米	$θ C 0$	15.451 1	55.514 0	0.781 2	$θ C 1$	1.516 5	3.911 3	0.698 8

表4

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	α		β		α+β
	系数	t值	系数	t值	α+β
国际粮食现货价格-国际粮食期货价格	0.021 7	0.980 9	0.945 8***	17.1840	0.967 5
国际小麦现货价格-国际小麦期货价格	0.183 9**	2.151 0	0.000 0	0.000 0	0.183 9
国际大米现货价格-国际大米期货价格	0.225 8***	2.704 4	0.859 6*	1.902 7	1.085 4
国际大豆现货价格-国际大豆期货价格	0.141 2**	2.465 5	0.767 0***	10.396 8	0.908 2
国际玉米现货价格-国际玉米期货价格	0.025 0	1.020 2	0.915 6***	7.436 0	0.940 6

	零假设	特征值	迹统计量	5% 临界值	最大特征值统计量	5% 临界值
粮食	0个协整向量	0.110 9	26.394 3	15.494 7	17.271 5	14.264 6
粮食	至多一个协整向量	0.060 2	9.122 8	3.841 5	9.122 8	3.841 5
小麦	0个协整向量	0.071 3	19.628 3	15.494 7	10.870 2	14.264 6
小麦	至多一个协整向量	0.057 8	8.758 1	3.841 5	8.758 1	3.841 5
大米	0个协整向量	0.124 5	28.934 2	15.494 7	19.547 4	14.264 6
大米	至多一个协整向量	0.061 9	9.386 8	3.841 5	9.386 8	3.841 5
大豆	0个协整向量	0.212 3	49.405 9	15.494 7	35.071 3	14.264 6
大豆	至多一个协整向量	0.092 9	14.334 6	3.841 5	14.334 6	3.841 5
玉米	0个协整向量	0.128 5	33.759 4	15.494 7	20.221 2	14.264 6
玉米	至多一个协整向量	0.088 0	13.538 2	3.841 5	13.538 2	3.841 5