Based on weekly price data from January 2009 to September 2016 of crude oil, soybean, corn, rice and wheat, this paper empirically explored the transmission effect of oil price on grain price and its time-varying characteristics by the rolling cointegration model. Results show that: 1) the transmission effect of oil price on soybean price is the strongest, and soybean price can adjust to long-term equilibrium with the highest speed; 2) the transmission effect of rising oil price on corn price is much stronger than others, but the effect is not significant when oil price is dropping; and 3) the transmission effect of oil price on rice price has been increasing significantly for years; but there is less sensitive reaction from wheat price to the oil price. In summary, upward trending crude oil price has stronger influence on grain price, and the transmission effect is imposed on those grain products with higher degree of marketization and are directly related bioenergy, such as soybean and corn, first, and then on the entire grain market.%为了把握原油价格变动对主要粮食价格的影响,本文选取2009年1月至2016年9月原油价格与大豆、玉米、水稻及小麦价格的周度数据,运用滚动协整分析法考察了原油价格与粮食价格的传导效应及其时变特征.研究发现,大豆价格与原油价格的传导效应最强,特别是当原油价格高位运行时,大豆价格对长期均衡的调整速度最快;玉米价格受原油价格上涨的冲击最大,而当原油价格低迷时传导效应"不显著";水稻价格与原油价格传导效应于近年逐渐加强;但小麦价格对原油价格变动的反应一直不敏感.总体而言,在原油价格上涨及高位运行阶段,原油价格对粮食价格的传导效应最强.本文认为,原油价格波动率先影响市场化程度较高及与生物能源生产直接相关的大豆、玉米价格,进而传导至整个粮食市场.
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