摘要
为探讨影响油菜产品价格波动的关键金融因素,本研究利用2004年1月至2020年7月的油菜产品的月度价格数据,选取油脂类农产品期货交易额、货币流动性、国际原油价格、人民币汇率和短期资本流动等金融指标构建TVP-SV-VAR模型,分析了五类金融化因素对三种油菜价格波动的影响及时变效应。结果表明,五类金融化因素对油菜产品价格波动具有明显的时变特征。首先,等间隔的脉冲响应表明,五类金融化因素对油菜产品价格的冲击影响主要集中在短期,并且油脂类农产品期货有利于平抑外部冲击对油菜产品价格的影响。第二,时点脉冲响应表明,货币流动性对三种油菜产品现货价格都有显著的拉动作用,国际原油价格对油菜籽和菜籽粕价格有较大的正向影响,对菜籽油价格波动的影响较小,人民币汇率和短期资本流动对油菜产品价格的影响具有较强的时变性和结构性突变。基于上述分析,本研究提出继续完善油菜产品“保险+期货”金融预警体系来稳定价格预期、建立油菜产品价格信息机制为油菜产品市场提供有效信息,以绿色和规模化导向来完善油菜补贴制度等政策建议。
In order to find the key financial factors affecting the price fluctuations of rapeseed products,the monthly price data of rapeseed products from January 2004 to July 2020,oil and fat agricultural products futures trading volume,currency liquidity,international crude oil prices,RMB exchange rates and the short-term capital flow were selected to construct the TVP-SV-VAR model and analyze the impact of five types of factors on the price fluctuations of three rapeseeds and time-varying effects.The research results showed that,in different time inter‐vals,the impact of five types of financialization factors on the price fluctuation of rape products had obvious time varying characteristics.First,the equally spaced impulse response showed that the impact of the five types of factors on the price of rapeseed products was mainly concentrated in the short-term,and the oil and fat agricultural product futures were conducive to calming the impact of external shocks on the price of rapeseed products.Second,the timing impulse response showed that currency liquidity had a significant pulling effect on the spot prices of three rapeseed products.International crude oil prices had a greater positive impact on the prices of rapeseed,rapeseed meal and rapeseed oil.The impact of volatility was relatively small,and the impact of RMB exchange rate and short-term capital flows on the price of rapeseed products had strong time-varying and structural mutations.On the basis of above analysis,this article proposes to continually improve the"insurance+futures"financial early warning system for rapeseed products to stabilize price expectations,promote advanced practical technologies through agricultural technological innovation to improve comparative advantages,and improve rapeseed subsidies with a green and large-scale orientation.
作者
魏梦升
孟维
陈雪婷
张青
冷博峰
李先容
冯中朝
WEI Meng-sheng;MENG Wei;CHEN Xue-ting;ZHANG Qing;LENG Bo-feng;LI Xian-rong;FENG Zhong-chao(College of Economics&Management,Huazhong Agricultural University,Wuhan 430070,China;Oil Crops Research Institute of Chinese Academy of Agricultural Sciences,Wuhan 430062,China;Hubei Rural Development Research Center,Wuhan 430070,China)
出处
《中国油料作物学报》
CAS
CSCD
北大核心
2022年第2期268-279,共12页
Chinese Journal of Oil Crop Sciences
基金
国家现代农业产业技术体系建设专项(CARS-0012)。
