| International grain prices fluctuated sharply and frequently by many factors,having gone through the "shock adjustment" in 2008 and "speed up period" since 2011.At the same time,domestic grain prices went up,even higher than international prices.Import has become the main way to solve domestic supply and demand contradiction at the present stage.With the international and domestic market more closely linked,frequent fluctuations in the international grain prices will be transmitted through trade,futures and other pathways to the domestic,resulting in the domestic grain market operation and prices inevitably being subjected to the influence of international grain price levels and form.Therefore,attentions to grain prices,as well as concerns for the impact of international transmission under open conditions,are both of great significance on food security.There are three key problems in this study:First,the correlation between domestic and international grain price fluctuation;Second,the existence and function of the international transmission pathways of grain price;Third,whether the price transmission is asymmetric on the pathways of trade and futures.Firstly,a DCC-GARCH model was established to calculate the dynamic correlation coefficient on grain price volatility at home and abroad.Secondly,proxy variables of trade,exchange rates,futures and alternative transmission pathways were selected in an OLS regression to test the effect level of international prices on domestic prices through these pathways.Finally,based on trade transmission pathway(international spot prices--import prices--domestic spot prices)and futures transmission pathway(international futures prices--domestic futures prices--domestic spot prices),vector auto-regression,co-integration techniques and asymmetric error correction model were used to empirically study the asymmetry of the international transmission of grain prices.According to the empirical results,the following conclusions can be drawn:First,soybeans,corn and rice price volatility at home and abroad has a dynamic relevance except for wheat.Second,the role of trade and alternative pathways are obvious,with slight differences between different varieties;futures transmission pathway of wheat and rice is not significant.Third,in the transmission pathway of "international spot price--import prices",the role of international price of soybean is longer-lasting to import price than any other grain;Price transmission is asymmetric,the increases of international prices can be more rapidly transmitted to import prices than its decreases,which.indicates the existence of monopoly power in the international market.Forth,in the transmission pathway of "import prices--domestic spot prices",wheat’s import price hardly transmits;soybeans and corn exists transmission asymmetry,the decreases of import prices can be more rapidly transmitted to domestic spot prices than its increases,which means the farmers at a disadvantage in bargaining.Fifth,in the transmission pathway of "international futures prices--domestic futures prices",the CBOT futures market has a guiding role on China’s futures market and also exhibits asymmetry,the rise in international futures prices has a greater impact on the domestic futures prices.Sixth,in the transmission pathway of "domestic futures prices--domestic spot prices",the futures prices one-way guiding spot prices;the decreases of soybean futures prices can be more rapidly transmitted to soybean spot prices,while do a opposite effect on soybean oil spot prices.In the end,based on the empirical analysis,countermeasures and suggestions were made to ensure nation food security,including development of import control policies,improvement of grain futures market,promotion of the domestic grain circulation,implementation of target price subsidies and emphasis on overseas agricultural investment. |
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