国际甘蔗燃料乙醇与食糖市场间的非对称价格传导效应
发布时间：2018-11-18 12:35
【摘要】：为了探究国际甘蔗燃料乙醇与食糖市场间价格联系的内在规律,本文运用阈值向量误差修正模型对两者价格间的动态传导效应进行了研究。研究证实:在长期内,甘蔗燃料乙醇价格与食糖价格之间存在非线性的阈值均衡关系,且相互之间产生双向格兰杰因果影响。在短期内,价格对偏离长期均衡的短期调整则呈现出非对称性,其调整方向与速度在不同的价格水平上存在着明显的差异。当价格系统偏离均衡且乙醇价格较低时,乙醇价格会向上微调,而食糖价格则快速下调;此时,食糖价格受到乙醇价格的显著格兰杰影响,较低的乙醇价格有力地遏制了食糖价格的上涨。当乙醇与食糖的价差拉大且乙醇价格较高时,乙醇价格和食糖价格都向上调整,但乙醇价格调整速度明显更快;此时,价格之间存在双向格兰杰因果关系,不断攀升的乙醇价格带动食糖价格持续上扬,同时,不断上涨的食糖价格又反过来正向推动乙醇价格上升。随着近年来甘蔗能源属性的不断强化,甘蔗乙醇价格对食糖价格的影响正在不断加强。最后,本文针对性地提出了维护甘蔗乙醇和食糖价格稳定的相关政策建议。
[Abstract]:In order to explore the intrinsic law of the price relationship between the international sugarcane fuel ethanol and sugar market, the dynamic conduction effect between the two prices was studied by using the threshold vector error correction model. It is proved that there is a nonlinear threshold equilibrium relationship between sugarcane fuel ethanol price and sugar price in the long run, and there is a bidirectional Granger causality effect between each other. In the short term, the price is asymmetric to the short-term adjustment which deviates from the long term equilibrium, and there are obvious differences in the direction and speed of the adjustment at different price levels. When the price system deviates from equilibrium and the price of ethanol is low, the price of ethanol will adjust up and fine, while the price of sugar will decrease rapidly. At this point, sugar prices are significantly affected by the Granger price of ethanol, lower ethanol prices have been able to contain the rise in sugar prices. When the price difference between ethanol and sugar was larger and the price of ethanol was higher, the price of ethanol and sugar increased, but the price of ethanol adjusted more quickly. At this point, there is a two-way Granger causality between the prices, rising ethanol prices drive sugar prices continue to rise, while rising sugar prices in turn are driving up the price of ethanol. In recent years, the effect of sugarcane ethanol price on sugar price is increasing with the increasing energy properties of sugarcane. Finally, the paper puts forward relevant policy suggestions to maintain the price stability of sugarcane ethanol and sugar.
【作者单位】： 中国农业大学;
【基金】：中央高校基本科研业务费专项资金项目(编号:2013YJ011,项目主持人:黄春全) 国家自然科学基金项目(编号:71303236,项目主持人:司伟) 全国百篇优秀博士学位论文基金项目(编号:200983,项目主持人:司伟)的资助
【分类号】：F416.72;F416.82
[Abstract]:In order to explore the intrinsic law of the price relationship between the international sugarcane fuel ethanol and sugar market, the dynamic conduction effect between the two prices was studied by using the threshold vector error correction model. It is proved that there is a nonlinear threshold equilibrium relationship between sugarcane fuel ethanol price and sugar price in the long run, and there is a bidirectional Granger causality effect between each other. In the short term, the price is asymmetric to the short-term adjustment which deviates from the long term equilibrium, and there are obvious differences in the direction and speed of the adjustment at different price levels. When the price system deviates from equilibrium and the price of ethanol is low, the price of ethanol will adjust up and fine, while the price of sugar will decrease rapidly. At this point, sugar prices are significantly affected by the Granger price of ethanol, lower ethanol prices have been able to contain the rise in sugar prices. When the price difference between ethanol and sugar was larger and the price of ethanol was higher, the price of ethanol and sugar increased, but the price of ethanol adjusted more quickly. At this point, there is a two-way Granger causality between the prices, rising ethanol prices drive sugar prices continue to rise, while rising sugar prices in turn are driving up the price of ethanol. In recent years, the effect of sugarcane ethanol price on sugar price is increasing with the increasing energy properties of sugarcane. Finally, the paper puts forward relevant policy suggestions to maintain the price stability of sugarcane ethanol and sugar.
【作者单位】： 中国农业大学;
【基金】：中央高校基本科研业务费专项资金项目(编号:2013YJ011,项目主持人:黄春全) 国家自然科学基金项目(编号:71303236,项目主持人:司伟) 全国百篇优秀博士学位论文基金项目(编号:200983,项目主持人:司伟)的资助
【分类号】：F416.72;F416.82
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