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为了把握原油价格变动对主要粮食价格的影响,本文选取2009年1月至2016年9月原油价格与大豆、玉米、水稻及小麦价格的周度数据,运用滚动协整分析法考察了原油价格与粮食价格的传导效应及其时变特征。研究发现,大豆价格与原油价格的传导效应最强,特别是当原油价格高位运行时,大豆价格对长期均衡的调整速度最快;玉米价格受原油价格上涨的冲击最大,而当原油价格低迷时传导效应“不显著”;水稻价格与原油价格传导效应于近年逐渐加强;但小麦价格对原油价格变动的反应一直不敏感。总体而言,在原油价格上涨及高位运行阶段,原油价格对粮食价格的传导效应最强。本文认为,原油价格波动率先影响市场化程度较高及与生物能源生产直接相关的大豆、玉米价格,进而传导至整个粮食市场。
In order to grasp the impact of crude oil price changes on the main grain prices, this paper selects the weekly data of the crude oil prices and the prices of soybean, corn, rice and wheat from January 2009 to September 2016 and the rolling cointegration analysis to examine the relationship between crude oil prices and The Conductive Effect of Grain Price and Its Time Varying Characteristics. The study found that the conduction effect of soybean prices and crude oil prices strongest, especially when the high crude oil prices, soybean prices to adjust the long-term equilibrium fastest; corn prices hit by the impact of crude oil prices the most, and when the crude oil prices downturn Conduction effect “not significant ”; rice price and the conduction effect of crude oil prices in recent years, gradually strengthened; but wheat price response to changes in crude oil prices has been insensitive. Overall, crude oil prices have the strongest conductive effect on food prices during the period of rising crude oil prices and high operating costs. This paper argues that the volatility of crude oil prices first affects the higher degree of marketization and the prices of soybeans and corn that are directly related to bioenergy production, which in turn leads to the entire food market.