The Transmission Effect from International Agricultural Price to Domestic Agricultural Price ——Based on Regularized Bayesian Estimator's TVECM Model

Abstract

Abstract: The paper uses a TVECM model to analyze the transmission effect from the international agricultural price to the domestic agricultural price that has been estimated using the regularized Bayesian estimator. The results show that within the upper and the lower regime the transmission effect from the international corn price to the domestic corn price is significant, while the transmission effect from the international rice price to the domestic rice price is not significant. Within the lower regime the transmission effect from the international wheat and soybean price to the domestic price is not significant, but within the upper regime the transmission effect of the international wheat and soybean price is significant. Besides, within the middle regime some adjust coefficients are significant in the TVECM model, which means that the transmission effect from the international agricultural price to the domestic agricultural price is not only generated as a result of the trade, but also due to information dissemination.

Key words: Agricultural Price, Regularized Bayesian Estimator, TVECM Model, Trade War between China and the United States

摘要： 本文采用正则化贝叶斯估计的TVECM模型,分析国际农产品价格对国内农产品价格的传递效应。研究结果显示,对大米和玉米价格而言,在其上、下区制,国际玉米价格对国内玉米价格的传递效应显著,国际大米价格对国内大米价格的传递效应并不显著;对小麦和大豆价格而言,在其下区制,国际小麦和大豆价格对国内价格的传递效应并不显著,而在其上区制,国际小麦和大豆价格对国内价格的传递效应显著。在TVECM模型的中区制,部分国内农产品价格的调整系数显著,意味着国际农产品价格对国内农产品价格的传递效应除通过贸易渠道外,信息渠道也起着重要作用。

关键词: 农产品价格, 正则化贝叶斯估计, TVECM模型, 中美贸易战

CLC Number:

F752

LI Yushuang, YANG Peiqiang. The Transmission Effect from International Agricultural Price to Domestic Agricultural Price ——Based on Regularized Bayesian Estimator's TVECM Model[J]. , 2019, 35(11): 12-19.

李玉双, 杨培强. 国际农产品价格对国内农产品价格的传递效应——基于正则化贝叶斯估计的TVECM模型[J]. 财经论丛, 2019, 35(11): 12-19.

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