财贸研究
財貿研究
재무연구
Finance and Trade Research
2014年
6期
80~86
,共null页
交易成本 三机制门限向量误差修正模型 粮食市场整合
交易成本 三機製門限嚮量誤差脩正模型 糧食市場整閤
교역성본 삼궤제문한향량오차수정모형 양식시장정합
transaction costs; three regimes threshold vector error correction model; food market integration
基于三机制门限向量误差修正模型,在交易成本视角下研究国内外粮食市场整合,结论为:国际粮价和国内粮价向长期均衡的调整速度呈非对称性,除大豆外,玉米、大米和小麦国际价格的调整速度快于国内价格;国内外粮价之差超过一定成本之后才会出现价格套利,此时粮食市场渐趋整合,因而可以运用阀值所刻画的交易成本来衡量国内外粮食市场的整合程度。更进一步,三机制门限向量误差修正模型估计结果表明,国内外玉米、大米、大豆和小麦四类粮价的阀值分别为14.95、-264.86、396.51和-59.77。为了提高国内外粮食市场的整合程度,政策导向应该是减少国际粮食贸易的交易成本。
基于三機製門限嚮量誤差脩正模型,在交易成本視角下研究國內外糧食市場整閤,結論為:國際糧價和國內糧價嚮長期均衡的調整速度呈非對稱性,除大豆外,玉米、大米和小麥國際價格的調整速度快于國內價格;國內外糧價之差超過一定成本之後纔會齣現價格套利,此時糧食市場漸趨整閤,因而可以運用閥值所刻畫的交易成本來衡量國內外糧食市場的整閤程度。更進一步,三機製門限嚮量誤差脩正模型估計結果錶明,國內外玉米、大米、大豆和小麥四類糧價的閥值分彆為14.95、-264.86、396.51和-59.77。為瞭提高國內外糧食市場的整閤程度,政策導嚮應該是減少國際糧食貿易的交易成本。
기우삼궤제문한향량오차수정모형,재교역성본시각하연구국내외양식시장정합,결론위:국제량개화국내량개향장기균형적조정속도정비대칭성,제대두외,옥미、대미화소맥국제개격적조정속도쾌우국내개격;국내외량개지차초과일정성본지후재회출현개격투리,차시양식시장점추정합,인이가이운용벌치소각화적교역성본래형량국내외양식시장적정합정도。경진일보,삼궤제문한향량오차수정모형고계결과표명,국내외옥미、대미、대두화소맥사류량개적벌치분별위14.95、-264.86、396.51화-59.77。위료제고국내외양식시장적정합정도,정책도향응해시감소국제양식무역적교역성본。
Based on three regimes threshold vector error correction model, this paper studies domestic and foreign food market integration in the perspective of transaction cost. Conclusions are as follows: ( 1 ) The speed of adjustment to long-term equilibrium between international and domestic food prices are asym- metry. In particular, the adjustment speed of international price of corn, rice and wheat are faster than do- mestic prices; (2) Only when the difference of domestic and foreign food prices are bigger than transaction cost, can the grain market become more integrated, so the threshold value is used to measure integration of domestic and foreign food market. (3) The results of TVECM show that the threshold value of corn, rice, soybean and wheat are 14.95, - 264.86, 396.51 and - 59.77 respectively. Accordingly, discussions are proposed to improve domestic and foreign grain market integration.