预期、投机与中国玉米价格泡沫
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摘要
基于中国2004年9月至2017年7月玉米集贸市场月度价格数据,运用SADF和GSADF检验中国玉米价格泡沫的存在性及持续时间。结果发现,样本期间,中国玉米市场存在4个泡沫,持续时间最长的价格泡沫为2010年1月至2012年11月。随后,利用Probit模型,从预期、投机、基本面和国际市场冲击的视角实证分析中国玉米价格泡沫的成因表明,预期和投机显著推动了中国玉米价格泡沫的产生,但二者的影响力在价格泡沫的兴起和破灭阶段差异显著,其中投机显著推动了玉米价格泡沫的兴起,而预期则加速了价格泡沫的破灭。
Based on the monthly marketing prices of corn between September 2004 and July2017 in China,this paper employs SADF and GSADF tests to examine the existence and duration of China's corn price bubbles.The results show that during the sample period,there are 4 bubbles in China's corn market.The longest price bubble is from January 2010 to November 2012.Then,using the Probit model,this paper diagnoses the causes of the China's corn price bubbles from the perspectives of expectation,speculation,fundamentals and international market impacts.The results indicate that the expectation and speculation significantly promote the price bubbles of corn in China.However,the impact of the expectation and speculation are different in the rise and collapse of the price bubble,in which speculation significantly contributes to the rise of the corn price bubble,and expectation accelerates the burst of the price bubble.
Based on the monthly marketing prices of corn between September 2004 and July2017 in China,this paper employs SADF and GSADF tests to examine the existence and duration of China's corn price bubbles.The results show that during the sample period,there are 4 bubbles in China's corn market.The longest price bubble is from January 2010 to November 2012.Then,using the Probit model,this paper diagnoses the causes of the China's corn price bubbles from the perspectives of expectation,speculation,fundamentals and international market impacts.The results indicate that the expectation and speculation significantly promote the price bubbles of corn in China.However,the impact of the expectation and speculation are different in the rise and collapse of the price bubble,in which speculation significantly contributes to the rise of the corn price bubble,and expectation accelerates the burst of the price bubble.
引文
1.Abraham,J.M.and Hendershott,P.H.Bubbles in metropolitan housing markets.Journal of Housing Research,7(2):191~207,1996
2.Abbott,P.C.,Hurt,C.and Tyner,W.E.What’s Driving Food Prices in 2011?Farm Foundation Issue Report,2011
3.Beckmann,J.and Czudaj,R.Volatility Transmission in Agricultural Futures Markets.Economic Modelling,36(C):541~546,2014
4.Blanchard,O.J.and Watson,M.W.A Specification Test for Speculative Bubbles.Working Paper No.945,1982
5.Christopher,L.G.:Speculative Influences On Commodity Futures Prices 2006-2008,United Nations Conference on Trade and Development,2010
6.Diba,B.T.and Grossman,H.I.Explosive Rational Bubbles in Stock Prices?The American Economic Review,78(3):520~530,1988
7.Etienne,X.L.,Irwin,S.H.and Garcia,P.Bubbles in Food Commodity Markets:Four decades of Evidence.Journal of International Money and Finance,42(C):129~155,2014
8.Etienne,X.L.,Irwin,S.H.and Garcia,P.Price Explosiveness,Speculation,and Grain Futures Prices.American Journal of Agricultural Economics,97(1):65~87,2015
9.Gilbert,C.L.How to Understand High Food Prices.Journal of Agricultural Economics,2010,61(2):398~425
10.Harvey,D.I.,Leybourne,S.J.,Sollis,R.and Taylor,A.M.R.Tests for Explosive Financial Bubbles in the Presence of Non-stationary Volatility.Journal of Empirical Finance,38(Part B):548~574,2016
11.Hicks,J.R.Value and Capital.Second edition.Oxford,U.K.:Oxford University Press,1946
12.Homm,U.and Breitung,J.Testing for Speculative Bubbles in Stock Markets:A Comparison of Alternative Methods.Journal of Financial Econometrics,10(1):198~231,2012
13.Jeanne,D.,Sarah,M.and Jan,V.New Evidence for Explosive Behavior of Commodity Prices,Center for Quantitative Economics(CQE),University of Muenster,2016
14.Keynes,J.M.A Treatise on Money.In D.E.Moggridge(Ed.),Collected writings of J.M.Keynes(Vol.V).London:Macmillan,1930
15.Kilian,L.Not All Oil Price Shocks are Alike:Disentangling Demand and Supply Shocks in the Crude Oil Market.American economic review,99(3):1053-1069,2009
16.Phillips,P.C.B.and Magdalinos,T.Limit Theory for Moderate Deviations from a Unit Root.Journal of Econometrics,136(1):115~130,2007
17.Phillips,P.C.B.,Shi,S.and Yu,J.Testing for Multiple Bubbles:Historical Episodes of Exuberance and Collapse in the S&P 500.International Economic Review,56(4):1043~1078,2015
18.Phillips,P.C.B.,Wu,Y.and Yu,J.Explosive Behavior in the 1990s:When Did Exuberance Escalate Asset Values?.International E-conomic Review,52(1):201~226,2011a
19.Shell,K.and Stiglitz,J.E.The Allocation of Investment in a Dynamic Economy.The Quarterly Journal of Economics,81(4):592~609,1967
20.Shiller,R.J.Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?National Bureau of Economic Research Working Paper Series,No.456,1980
21.West,K.D.A.Specification Test for Speculative Bubbles.National Bureau of Economic Research Working Paper Series,No.2067,1986
22.高波,王辉龙,李伟军.预期、投机与中国城市房价泡沫.金融研究,2014(2):44~58
23.韩立岩,尹力博.投机行为还是实际需求?---国际大宗商品价格影响因素的广义视角分析.经济研究,2012(12):83~95
24.何蒲明,黎东升.基于粮食安全的粮食产量和价格波动实证研究.农业技术经济,2009(2):90~97
25.扈文秀,刘刚,章伟果,付强.基于因素嵌入的非理性资产价格泡沫生成及膨胀演化研究.中国管理科学,2016(5):31~37
26.钱煜昊,曹宝明,赵霞.期货市场金融化、投机诱导与大豆期货价格波动-基于CBOT大豆期货市场数据的实证分析.农业技术经济,2017(2):28~40
27.邱雁.国际投机基金对大豆期货价格影响的实证分析.中国农村经济,2010(4):87~96
28.孙致陆,李先德.中国粮食进口贸易的“大国效应”检验.华南农业大学学报(社会科学版),2015(14):99~112
29.王文斌,戴金平.国际粮食价格与产量、消费和库存-基于时间序列的实证研究:1981-2007.国际贸易问题,2009(5):35~40
30.王燕青,王晓蜀,武拉平.我国农产品期货市场的价格泡沫检验:以鸡蛋期货为例.农业技术经济,2015(12):78~88
31.吴海霞,葛岩.粮食托市收购政策效应评估-以玉米临储政策为例.华中农业大学学报(社会科学版),2016(6):56~63
32.詹琳,蒋和平.粮食目标价格制度改革的困局与突破.农业经济问题,2015(2):14~20
33.钟甫宁.粮食储备和价格控制能否稳定粮食市场?---世界粮食危机的若干启示.南京农业大学学报(社会科学版),2011(2):20~26
(1)数据来源:中国玉米信息网,http://www.chnym.com/
(2)数据来源:国家粮食局,http://www.chinagrain.gov.cn/n317042/c601723/content.html
2.Abbott,P.C.,Hurt,C.and Tyner,W.E.What’s Driving Food Prices in 2011?Farm Foundation Issue Report,2011
3.Beckmann,J.and Czudaj,R.Volatility Transmission in Agricultural Futures Markets.Economic Modelling,36(C):541~546,2014
4.Blanchard,O.J.and Watson,M.W.A Specification Test for Speculative Bubbles.Working Paper No.945,1982
5.Christopher,L.G.:Speculative Influences On Commodity Futures Prices 2006-2008,United Nations Conference on Trade and Development,2010
6.Diba,B.T.and Grossman,H.I.Explosive Rational Bubbles in Stock Prices?The American Economic Review,78(3):520~530,1988
7.Etienne,X.L.,Irwin,S.H.and Garcia,P.Bubbles in Food Commodity Markets:Four decades of Evidence.Journal of International Money and Finance,42(C):129~155,2014
8.Etienne,X.L.,Irwin,S.H.and Garcia,P.Price Explosiveness,Speculation,and Grain Futures Prices.American Journal of Agricultural Economics,97(1):65~87,2015
9.Gilbert,C.L.How to Understand High Food Prices.Journal of Agricultural Economics,2010,61(2):398~425
10.Harvey,D.I.,Leybourne,S.J.,Sollis,R.and Taylor,A.M.R.Tests for Explosive Financial Bubbles in the Presence of Non-stationary Volatility.Journal of Empirical Finance,38(Part B):548~574,2016
11.Hicks,J.R.Value and Capital.Second edition.Oxford,U.K.:Oxford University Press,1946
12.Homm,U.and Breitung,J.Testing for Speculative Bubbles in Stock Markets:A Comparison of Alternative Methods.Journal of Financial Econometrics,10(1):198~231,2012
13.Jeanne,D.,Sarah,M.and Jan,V.New Evidence for Explosive Behavior of Commodity Prices,Center for Quantitative Economics(CQE),University of Muenster,2016
14.Keynes,J.M.A Treatise on Money.In D.E.Moggridge(Ed.),Collected writings of J.M.Keynes(Vol.V).London:Macmillan,1930
15.Kilian,L.Not All Oil Price Shocks are Alike:Disentangling Demand and Supply Shocks in the Crude Oil Market.American economic review,99(3):1053-1069,2009
16.Phillips,P.C.B.and Magdalinos,T.Limit Theory for Moderate Deviations from a Unit Root.Journal of Econometrics,136(1):115~130,2007
17.Phillips,P.C.B.,Shi,S.and Yu,J.Testing for Multiple Bubbles:Historical Episodes of Exuberance and Collapse in the S&P 500.International Economic Review,56(4):1043~1078,2015
18.Phillips,P.C.B.,Wu,Y.and Yu,J.Explosive Behavior in the 1990s:When Did Exuberance Escalate Asset Values?.International E-conomic Review,52(1):201~226,2011a
19.Shell,K.and Stiglitz,J.E.The Allocation of Investment in a Dynamic Economy.The Quarterly Journal of Economics,81(4):592~609,1967
20.Shiller,R.J.Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?National Bureau of Economic Research Working Paper Series,No.456,1980
21.West,K.D.A.Specification Test for Speculative Bubbles.National Bureau of Economic Research Working Paper Series,No.2067,1986
22.高波,王辉龙,李伟军.预期、投机与中国城市房价泡沫.金融研究,2014(2):44~58
23.韩立岩,尹力博.投机行为还是实际需求?---国际大宗商品价格影响因素的广义视角分析.经济研究,2012(12):83~95
24.何蒲明,黎东升.基于粮食安全的粮食产量和价格波动实证研究.农业技术经济,2009(2):90~97
25.扈文秀,刘刚,章伟果,付强.基于因素嵌入的非理性资产价格泡沫生成及膨胀演化研究.中国管理科学,2016(5):31~37
26.钱煜昊,曹宝明,赵霞.期货市场金融化、投机诱导与大豆期货价格波动-基于CBOT大豆期货市场数据的实证分析.农业技术经济,2017(2):28~40
27.邱雁.国际投机基金对大豆期货价格影响的实证分析.中国农村经济,2010(4):87~96
28.孙致陆,李先德.中国粮食进口贸易的“大国效应”检验.华南农业大学学报(社会科学版),2015(14):99~112
29.王文斌,戴金平.国际粮食价格与产量、消费和库存-基于时间序列的实证研究:1981-2007.国际贸易问题,2009(5):35~40
30.王燕青,王晓蜀,武拉平.我国农产品期货市场的价格泡沫检验:以鸡蛋期货为例.农业技术经济,2015(12):78~88
31.吴海霞,葛岩.粮食托市收购政策效应评估-以玉米临储政策为例.华中农业大学学报(社会科学版),2016(6):56~63
32.詹琳,蒋和平.粮食目标价格制度改革的困局与突破.农业经济问题,2015(2):14~20
33.钟甫宁.粮食储备和价格控制能否稳定粮食市场?---世界粮食危机的若干启示.南京农业大学学报(社会科学版),2011(2):20~26
(1)数据来源:中国玉米信息网,http://www.chnym.com/
(2)数据来源:国家粮食局,http://www.chinagrain.gov.cn/n317042/c601723/content.html