国内外玉米市场价格的动态关系及传导效应

摘要

This paper empirically studies the dynamic relationship between domestic and international corn markets on price volatility and their transmission effects by using ECM model and VAR model. The results show that, in the long term, the international corn price fluctuation has a significantly impact on the do- mestic corn price; in the short term, the first-lagged intemational corn price has a positive effect on the domestic corn price; impulse response function and variance decomposition indicate that international future market＇ s influence is more important to the fluctuation of domestic corn price.%本文运用误差修正模型和VAR模型对国际玉米价格波动和国内玉米价格波动的互动关系及传导效应进行了实证分析。结论显示：长期内，国际玉米价格的变动对国内玉米价格影响较为显著；短期内，滞后一期的国际玉米价格对国内玉米价格存在较显著的正向影响；脉冲响应函数和方差分解分析表明，国际玉米期货价格的信息反映机制对国内玉米价格波动的影响更为重要。