A Research On International Transmission Mechanism And Effect Of The Price Volatility Of Agricultural Products

Under the open economy, domestic and international agricultural markets are becoming increasingly close, CPI is facing growing imported inflation risk, thus it is necessary to study the issue of agricultural prices. The existing research is based on three main aspects:Causes of agricultural prices volatility, price volatility transmission mechanism as well as the asymmetric price transmission of agricultural products. But most of the studies focused on domestic price transmission problem, little for the international transmission, take the above three aspects as a whole is even less, the systematic analysis of the asymmetric international transmission mechanism and effect of the price volatility of agricultural products and the asymmetric sources is not yet commenced. With the continuous enhancement of the linkage between domestic and foreign agricultural products markets, the asymmetry of international transmission of the price volatility of agricultural products gradually revealed, the study of the overall asymmetry and its causes is becoming more and more necessary.Thus, This paper summarized the previous research, using the relevant data of international and domestic trade in agricultural products to measure the asymmetry of international transmission mechanism and effect of the price volatility of agricultural products, analyze the causes and the interaction relationship of the various aspects of asymmetry.Theoretieally, Using Price theory, international trade theory, the "big effect" theory, the price volatility asymmetric conduction theory (APT), as well as international market forces theory to construct the asymmetric framework of international transmission mechanism and effect of the price volatility of agricultural products. The results show:First, global economic conditions, global supply and demand of agricultural products, state regulation, energy prices, the dollar index movements and speculative factors, six factors are the causes of the price volatility of international agricultural products, and can further affect.the domestic agricultural price; second, the price volatility of agricultural products can be transmitted through the following four paths:Raw material prices transmission path,consumer prices transmission path, alternative path (import) and the alternative path (export); Third, same as the trade welfare effects,there are "big country model" and "small country model" in the welfare effects of international transmission of the price volatility of agricultural products; finally, based on residual demand model theory, combined with the big-country model of international transmission of the price volatility of agricultural products,we can deduce the international market powers model of the big-country of international transmission of the price volatility of agricultural products,the model shows market power and price volatility transmission effect are positively correlated.Empirically, firstapplying Markov Switching Model (MS) to study the asymmetry of agricultural price volatility and its Regime-Switching characteristics; then use traditional VAR model to quantitatively confirm the international transmission path of agricultural price volatility in two phases,and its asymmetry. In order to clarify the reasons for the asymmetry, we further introduce the SVAR model-based pulse response function,to analyze the response of each part of every path when faced with the impact of price volatility; after that, in the analytical framework of big-country model of international transmission of the price volatility of agricultural products, using the VECM-BEKK-BEGARCH model to test the asymmetry from volatility spillover and extent spillover; finally, using the residual demand model to conduct an empirical measure of China's international market power of agricultural product import and export. The main empirical results are following: First, under the influence of international factors,the volatility of agricultural prices are always making Regime-Switching movement among Decreasing, Rising and Surging,showing Regime-Switching characteristics, at the same time, the volatility of agricultural prices show asymmetry in the distribution,length and switching of regimes; Second, the volatility of agricultural prices show asymmetry in time-delay, direction, and extent of volatility transmission, the above asymmetry is mainly due to the short-term effects of price volatility transmission is inconsistent with the direction of movement of the long-term effects; Third, China has initially shown the "big country effect" in the volatility spillover, which causing China's domestic macro-control policy would have significant impact on the international market price, making short-term price volatility in international transmission effect deviate from its long-term trend, However, in terms of extent spillover, China has only got "big country" position in volatility import; Fourth, China has got larger market power in import market than in export market, the lack of market power in the field of agricultural exports prevented the extent spillover; Fifth, every part of the international transmission mechanism of the price volatility of agricultural products shows asymmetry, and the asymmetry of different parts can be transmitted:one hand, the asymmetry of the causes of the price volatility of agricultural products in international market lead to the asymmetry of the volatility of agricultural prices,which can be transmitted as well as the volatility; the other hand, the asymmetry of the China's international market power on import and export lead to the asymmetry of international transmission effect, which lead to the asymmetry of the transmission path of China's agricultural price volatility.Based on the above analysis, this paper put forward corresponding policy implications and suggestions, such as preventing the imported inflation risk in agricultural prices; using the international market to stabilize the volatility of domestic agricultural prices;adjusting the power structure of import and export of agricultural products, to ensure agricultural price stabilization and agricultural security.