基于MSVAR的中美大豆现货价格非线性空间传导特征研究

发布时间：2018-03-31 08:45

本文选题：大豆价格　切入点：MSVAR模型　出处：《农业技术经济》2017年10期

【摘要】：基于2001年1月至2016年1月中美大豆市场现货价格月度数据,本文运用MSVAR模型对中美两国市场大豆价格波动及传导的非线性特征进行了验证分析。结果表明:中美大豆现货价格波动均呈现非线性特征,而且市场间的价格传导存在区制转换效应,区制转换的频率也存在显著的阶段性差异;中美大豆现货价格波动存在平稳和非平稳两种市场状态,各状态具有较强的持续性;同时发现,中美大豆市场之间的价格脉冲影响在非平稳市场状态时要强于在平稳市场状态时,市场价格的空间传导具有明显的非线性特征。在此基础上,提出政府应关注市场运行的不同状态,考虑政策变动可能对农产品市场价格波动和空间传导造成的影响。
[Abstract]:Based on the monthly spot price data from January 2001 to January 2016, MSVAR model is used to verify and analyze the nonlinear characteristics of soybean price fluctuation and conduction in Chinese and American markets.The results showed that the spot price fluctuation of soybeans in China and the United States showed nonlinear characteristics, and the price conduction between the markets had the effect of regional system conversion, and the frequency of regional system transition was also significantly different in different stages.The spot price fluctuations of soybeans in China and the United States have two stable and non-stationary market conditions, each of which has a strong persistence. At the same time, it is found thatThe effect of price pulse between Chinese and American soybean markets is stronger in non-stationary market than in stationary market, and the spatial conduction of market price has obvious nonlinear characteristics.On this basis, it is suggested that the government should pay attention to the different states of market operation and consider the possible impact of policy changes on the price fluctuation and spatial conduction of agricultural products market.
【作者单位】：中国农业科学院农业经济与发展研究所;中国农业大学经济管理学院;
【基金】：中国农业科学院科技创新工程项目(编号:ASTIP-IAED-2016-04)
【分类号】：F313.7

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