A Study On The Construction And Application Of The China’s Grain Price Indexes

As a fundamental price of China’s economy, the price of agricultural productsis critical to the smooth operation of macro-economy and the steady improvement ofurban and rural residents’ living standard. Therefore, basing on the basic theoryresearch on grain prices, the paper studies the construction technology of the grainprice index and compiles the China’s grain price indexes with relative data. As for theapplication study, after pro-processing with the H-P filter, the paper estimatesMarkov-switching models combined with time-varying transition probabilities tostudy the feature of China’s grain prices. The main research contents are as follows.Firstly, to study on the basic theories of constructing agricultural price indexesby reviewing relevant literature. The paper analyzes different construction methodsapplied by different countries and organizations, and then briefly reviews theconcepts and connotations of grains and grain price indexes, etc. Besides, the papersorts out the basic theories on the feature of grain prices, including the mechanism ofgrain price formation and the characteristics of grain price volatility.Secondly, the paper analyzes the constructing technology and collects essentialdata to compile three kinds of grain price indexes. In this part, the paper firstintroduces the process and principles of index construction; then according to theprocess, the construction technology is researched from the following aspects: theselection of grain products on behalf, the selection of the base, the design of theweighting scheme, and the calculation of the index; last but not the least, inaccordance with the purpose of construction and features of data collected, the paperconstructs and then analyzes descriptively the chain index, the fixed base index, andthe year on year index of Chinese grain prices within the sample period.Finally, basing on the indexes constructed, the paper does an empirical researchon the feature of China’s grain prices. By introducing China’s CPI, the exogenousinfluential variable whose trends are removed through H-P filtering, theMarkov-switching models combining with time-varying transition probabilities areestimated. Then, combining with the results of parameter estimation, the paperanalyzes the periodicity and asymmetry of volatility of China’s grain prices. Theresults of the empirical research indicate that: first, the common ups and downsphenomena shown both in the mean and volatility process of China’s grain prices not only lead to a significant cyclical fluctuations in grain prices, but also intensify thenonlinear and asymmetric characteristics of the volatility cycle of grain price s; second,according to the smooth transition probability trend of China’s grain prices in the twostates, six turning points can be identified from the January of2003to the February of2014. The four cycle of China’s grain price can be divided, considering thecharacteristics of seven turning points and the trough to trough cycle divisionprinciple, and the analysis shows that the cyclical fluctuations of grain prices hasasymmetric effects; third, after examining the transition probabilities under theimpact of the exogenous variable, China’s CPI, the results shows that the impact thatChina’s CPI exerts on grain prices is different on the two different states, whichmeans there is asymmetry of grain prices on the low level fluctuation state and thehigh level fluctuation state.