粮食价格垂直传递与市场纵向整合——基于国内稻米和大豆市场的比较分析
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摘要
粮食市场纵向整合是市场有效运作的重要体现,也是新形势下粮食价格形成机制改革的重要方向。为此,本文从粮食价格垂直传递的角度,选取稻米和大豆两大粮食品种,依次建立向量自回归模型与非对称ARCH模型,来研究粮食市场纵向整合情况。结果表明:大豆市场收购价格与批发价格之间的波动传递效果优于稻米市场,说明两品种纵向市场整合程度存在差异;稻谷收购价格和大米批发价格对于正向冲击和负向冲击的反应均存在非对称效应,但效果相异;粮食价格调控政策的实施导致市场结构的不一致是纵向整合程度差异形成的重要原因。因此,提高粮食市场纵向整合程度的核心在于逐步调低直至取消粮食价格支持政策并确定市场定价机制,同时尝试建立覆盖产业链各环节的市场信息数据库从而增强各环节价格的关联程度。
Vertical integration of food market is not only an important embodiment of the efficient operation of the market but also a significant direction for the reform of grain price formation mechanism. Therefore,this paper uses vector autoregressive model( VAR) and the threshold ARCH model( TARCH) to analyze the vertical integration of grain market between rice and soybean from the perspective of food price transmission. The results suggest that,the transmission between acquisition price and wholesale price of soybean is more complete than rice,which shows that the degree of market integration is different between two varieties. Faced with positive shock and negative shock,both of acquisition price and wholesale price of rice exists asymmetric effects but different directions. The inconsistency of market structure caused by the implementation of grain price control policy accounts for the difference of vertical integration. Hence,the key of improving the integration of food market lies in cutting the support price gradually until the price support police is canceled and establish marketable pricing mechanism. At the same time,try to set up the market information database which covers all links of the industry chain so as to enhance the correlation degree of each link price.
Vertical integration of food market is not only an important embodiment of the efficient operation of the market but also a significant direction for the reform of grain price formation mechanism. Therefore,this paper uses vector autoregressive model( VAR) and the threshold ARCH model( TARCH) to analyze the vertical integration of grain market between rice and soybean from the perspective of food price transmission. The results suggest that,the transmission between acquisition price and wholesale price of soybean is more complete than rice,which shows that the degree of market integration is different between two varieties. Faced with positive shock and negative shock,both of acquisition price and wholesale price of rice exists asymmetric effects but different directions. The inconsistency of market structure caused by the implementation of grain price control policy accounts for the difference of vertical integration. Hence,the key of improving the integration of food market lies in cutting the support price gradually until the price support police is canceled and establish marketable pricing mechanism. At the same time,try to set up the market information database which covers all links of the industry chain so as to enhance the correlation degree of each link price.
引文
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21.颜色,刘丛.18世纪中国南北方市场整合程度的比较---利用清代粮价数据的研究.经济研究,2011,46(12):124~137
22.喻闻,黄季焜.从大米市场整合程度看我国粮食市场改革.经济研究,1998(3):52~59
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24.朱信凯,韩磊,曾晨晨.信息与农产品价格波动:基于EGARCH模型的分析.管理世界,2012,(11):57~66
2.Ghosh,M.Agricultural policy reforms and spatial integration of food grain markets in India.Journal of Economic Development.2011,36(2):15~36
3.Glosten,L.R.,Jagannathan and D.Runkle.On the Relation between the Expected Value and the Volatility of the Norminal Excess Return on Stocks.Journal of Finance.1993(48):1779~1801
4.Goychuk.K and W.H.Meyers.Black sea and world wheat market price integration analysis.Canadian Journal of Agricultural Economics.2014(62):245~261
5.Nelson,Daniel,B.Conditional Heterosdasticity in Asset Returns:A New Approach.Econometrica.1991(59):347~370
6.Rezitis,A.N.;Stavropoulos,K.S..Modeling Pork Supply Response and Price Volatility:The Case of Greece.Journal of Agricultural and Applied Economins.2009,41(1):145~162
7.Zakoian,J.M.Threshold Heteroskedastic Models.Journal of Economic Dynamics and Control.1994(18):931~944
8.Zheng,Y.,Kinnucan,H.W.and Thompson,H.News and Volatility of Food Price,Applied Economics,40(13):1629~1635
9.程国强.我国粮价政策改革的逻辑与思路.农业经济问题,2016(2):4~9
10.龚梦,祁春节.我国经济林产品市场整合程度研究---以柑橘水果为例.华中农业大学学报(社会科学版),2013(3):77~82
11.韩胜飞.市场整合研究方法与传达的信息.经济学(季刊),2007,6(4):1359~1372
12.胡华平,李崇光.农产品垂直价格传递与纵向市场联结.农业经济问题,2010,31(1):10~17,110
13.洪勇,许统生.中国国内商品市场整合研究---基于需求-价格关系的视角.南方经济,2016(3):16~35
14.刘艺卓,蔡海龙.中国不同市场环节粮食价格传导研究.农业技术经济,2015(6):66~73
15.马述忠,屈艺.市场整合与贸易成本---基于中国粮食市场空间价格传导的新证据.农业经济问题,2017,38(5):72~82,112
16.潘方卉,李翠霞.生猪产销市场整合、决定因素与地理距离---基于省级面板数据的面板门槛模型.中国农村经济,2016(8):28~41
17.全世文,曾寅初,毛学峰.运输成本可以解释空间市场整合中的交易成本吗?---来自中国小麦和玉米市场的证据.中国农村观察,2015(1):15~29,93
18.孙林,蓝旻,钟钰.中国大豆贸易调控政策对国内垂直价格传递影响研究.农业经济问题,2016(11):69~77
19.王秀清,H.T.Weldegebriel,A.J.Rayner.纵向关联市场间的价格传递.经济学(季刊),2007(3):885~898
20.肖小勇,章胜勇.交易成本视角下国内外粮食市场整合研究.财贸研究,2014,25(6):80~86
21.颜色,刘丛.18世纪中国南北方市场整合程度的比较---利用清代粮价数据的研究.经济研究,2011,46(12):124~137
22.喻闻,黄季焜.从大米市场整合程度看我国粮食市场改革.经济研究,1998(3):52~59
23.周章跃,万广华.论市场整合研究方法---兼评喻闻、黄季焜《从大米市场整合程度看我国粮食市场改革》一文.经济研究,1999(3):75~81
24.朱信凯,韩磊,曾晨晨.信息与农产品价格波动:基于EGARCH模型的分析.管理世界,2012,(11):57~66