我国农产品价格的结构变化特征及影响因素分析
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摘要
农产品价格波动对整个国民经济的均衡发展有重要影响。文章根据Bai和Perron的结构变点检验方法对我国农产品价格指数序列中包含的结构转折点进行诊断,从供求结构改变、农业生产成本变动、国际农产品价格变化和政策变化等角度分析了1998年1月至2015年12月期间4个转折点的成因和属性,同时进一步以其中的2002年8月结构转折点为界,运用SVAR模型分别对入世前后我国农产品价格与国际农产品价格、农业生产资料价格和通货膨胀率等宏观经济变量间的相互作用程度和时滞问题进行检验和对比分析,发现入世后随着农产品流通和定价的市场化程度的增强,生产成本、国际农产品价格和货币供给与我国农产品价格之间的作用亦有所加强,同时国内农产品价格与其它消费品价格之间的关系也发生了明显变化,并以此为依据提出了针对缓解我国农产品价格结构变化的对策建议。
The fluctuations of agricultural prices play an important role in the balanced development of the national economy. In this paper we apply Bai and Perron's multiple structural change tests to diagnose and analyze the structural characteristics of the real agricultural product prices. The results show that there are 4 structural change points in the real price series of agricultural products and their existence can be explained by factors like change of supply and demand structure, agricultural production cost and international agricultural price fluctuations and policy changes. Furthermore base on one of the structural change points, a SVAR model is used separately to figure out the relationship between China's agricultural prices and with China's agricultural prices, international agricultural prices, the prices of domestic agricultural production and inflation rate. According to the empirical results, we finally put forward some suggestions towards alleviating the fluctuations of agricultural price.
The fluctuations of agricultural prices play an important role in the balanced development of the national economy. In this paper we apply Bai and Perron's multiple structural change tests to diagnose and analyze the structural characteristics of the real agricultural product prices. The results show that there are 4 structural change points in the real price series of agricultural products and their existence can be explained by factors like change of supply and demand structure, agricultural production cost and international agricultural price fluctuations and policy changes. Furthermore base on one of the structural change points, a SVAR model is used separately to figure out the relationship between China's agricultural prices and with China's agricultural prices, international agricultural prices, the prices of domestic agricultural production and inflation rate. According to the empirical results, we finally put forward some suggestions towards alleviating the fluctuations of agricultural price.
引文
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[23]吴振信,方埠磊,王书平,胡爱梅.欧盟碳价波动的结构突变特性检验[J].数理统计与管理,2015, 34(6):969-977.
[24]王书平,魏晓萌,吴振信.考虑结构突变的大宗商品价格波动对中国经济的影响分析[J].工业技术经济,2017,(4):122-130.
[25]姬强,刘明磊,范英.国际天然气价格驱动因素的结构性变化[J].数理统计与管理,2016, 35(6):951-960.
[26] Reichlin L. Structural change and unit root econometrics[J]. Economics Letters, 1989, 31(3):231-233.
[27] Perron P. The great crash, the oil price shock, and the unit root hypothesis[J]. Econometrica, 1989,57(6):1361-1401.
[28]赵梦楠,周德群.中国煤炭消耗与经济增长的结构变化及因果关系研究[J].价格月刊,2008,(9):32-37.
[29]张慧明,周德群,曹杰.中国能源战略演变的定量分析与评价[J].中国科技论坛,2010,(10):29-33.
[30]张慧明,周德群,曹杰.气候变化视角下的美国能源战略演变特征分析及启示[J].管理评论,2010,(6):114-118.
[31] Bai J, Perron P. Estimating and testing linear models with multiple structural changes[J]. Econometrica, 1998, 66:47-78.
[32] Bai J, Perron P. Computation and analysis of multiple structural change models[J]. Journal of Applied Econometrics, 2003, 18(1):1-22.
[33] Liu J, Wu S, Zidek J V. On segmented multivariate regression[J]. Statistica Sinica, 1997, 7(2):497-525.
[34]崔畅.货币政策工具对资产价格动态冲击的识别检验[J].财经研究,2007,(7):31-39.
[35] Garner C A. Commodity prices:Policy target or information variable? A note[J]. Journal of Money,Credit and Banking, 1989, 21(4):508 514.
[34]何启志.国际农产品价格波动风险研究[J].财贸经济,2008,(5):63-69.
[2] Gohin A, Chantret F. The Long-run impact of energy prices on world agricultural markets:The role of macro-economic linkages[J]. Energy Policy, 2010, 38(1):333-339.
[3] Jeffrey A Frankel. Expectations and commodity price dynamics:The overshooting model[J]. American Journal of Agricultural Economics, 1986, 68(2):344-348.
[4] Mitra S, Boussard J. A simple model of endogenous agricultural commodity price fluctuations with storage[J]. Agric. Econ, 2012, 43(1):1-15.
[5] Confort P. Price transmission in selected agricultural markets[R]. FAO Commodities and Trade Policy Working Paper, 2004.
[6] Benavides G. Price volatility forecasts for agricultural commodities an application of historical volatility models option implied and composite approaches for futures prices of corn and wheat[R]. Central Bank of Mexico, 2004.
[7]姜明.农产品价格上涨因素分析[J].价格月刊,1996,(2):11-13.
[8]巫国兴.我国农产品价格波动研究[J].农业经济问题,1997,(6):18-23.
[9]罗锋,牛宝俊.国际农产品价格波动对国内农产品价格的传递效应一基于VAR模型的实证研究[J].国际贸易问题,2009,(6):16-22.
[10]王孝松,谢申祥.国际农产品价格如何影响了中国农产品价格[J].经济研究,2012,(3):141-153.
[11]陈宇峰,薛萧繁,徐振宇.国际油价波动对国内农产品价格的冲击传导机制:基于LSTAR模型[J].中国农村经济,2012,(9):74-87.
[12]顾国达,方晨靓.中国农产品价格波动特征分析一基于国际市场因素影响下的局面转移模型[J].中国农村经济,2010,(6):67-76.
[13]张利庠,张喜才.外部冲击对我国农产品价格波动的影响研究一基于农业产业链视角[J].管理世界,2011,(1):71-81.
[14]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[J].管理世界,2012,(11):57-66.
[15]程国强,胡冰川,徐雪.新一轮农产品价格上涨的影响分析[J].管理世界,2008,(1):57-81.
[16]徐雪高.新一轮农产品价格波动周期:特征、机理及影响[J].财经研究,2008,(8):110-119.
[17]王少平,孙晓涛.中国通货膨胀的相依性周期[J].中国社会科学,2013,(5):106-124.
[18]曹慧,韩一军.近年来我国主要农产品价格变化及其对CPI的影响[J].农业展望,2008,(4):24-27.
[19]卢锋,彭凯翔.中国粮价与通货膨胀关系(1987-1999)[J].经济学(季刊),2002,(1):821-835.
[20]王秀清,钱小平.1981-2000年中国农产品价格上涨的波及效应[J].中国农村经济,2004,(2):12-15.
[21]张文朗,罗得恩.中国食品价格上涨因素及其对总体通货膨胀的影响[J].金融研究,2010,(9):1-18.
[22]吴恒煜,胡根华,吕江林.人民币汇率市场化,结构相依与结构突变[J].数理统计与管理,2016, 35(1):106-121.
[23]吴振信,方埠磊,王书平,胡爱梅.欧盟碳价波动的结构突变特性检验[J].数理统计与管理,2015, 34(6):969-977.
[24]王书平,魏晓萌,吴振信.考虑结构突变的大宗商品价格波动对中国经济的影响分析[J].工业技术经济,2017,(4):122-130.
[25]姬强,刘明磊,范英.国际天然气价格驱动因素的结构性变化[J].数理统计与管理,2016, 35(6):951-960.
[26] Reichlin L. Structural change and unit root econometrics[J]. Economics Letters, 1989, 31(3):231-233.
[27] Perron P. The great crash, the oil price shock, and the unit root hypothesis[J]. Econometrica, 1989,57(6):1361-1401.
[28]赵梦楠,周德群.中国煤炭消耗与经济增长的结构变化及因果关系研究[J].价格月刊,2008,(9):32-37.
[29]张慧明,周德群,曹杰.中国能源战略演变的定量分析与评价[J].中国科技论坛,2010,(10):29-33.
[30]张慧明,周德群,曹杰.气候变化视角下的美国能源战略演变特征分析及启示[J].管理评论,2010,(6):114-118.
[31] Bai J, Perron P. Estimating and testing linear models with multiple structural changes[J]. Econometrica, 1998, 66:47-78.
[32] Bai J, Perron P. Computation and analysis of multiple structural change models[J]. Journal of Applied Econometrics, 2003, 18(1):1-22.
[33] Liu J, Wu S, Zidek J V. On segmented multivariate regression[J]. Statistica Sinica, 1997, 7(2):497-525.
[34]崔畅.货币政策工具对资产价格动态冲击的识别检验[J].财经研究,2007,(7):31-39.
[35] Garner C A. Commodity prices:Policy target or information variable? A note[J]. Journal of Money,Credit and Banking, 1989, 21(4):508 514.
[34]何启志.国际农产品价格波动风险研究[J].财贸经济,2008,(5):63-69.