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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。
Based on the monthly data of the spot price of soybean in China and the United States from January 2001 to January 2016, this paper uses the MSVAR model to verify and analyze the nonlinear characteristics of soybean price fluctuation and transmission in China and the United States. The results show that the spot price of both China and the United States exhibit non-linear fluctuations in the spot price, and there is a system-of-area conversion effect in the price transmission between markets. There is also a significant stage difference in the frequency of the system-zone conversion. Stable state of both markets and strong continuity of each state. At the same time, it is found that the price impulse effect between China and the United States soybean market is stronger in the non-stationary market state than in the steady market state, and the space transmission in the market price has obvious Nonlinear features. On this basis, it is proposed that the government should pay attention to the different states of market operation and consider the possible impact of policy changes on price fluctuations and spatial transmission of agricultural products market.