【作者】 刘玲；

【导师】 陈乐一；

【作者基本信息】 湖南大学 ， 理论经济学 西方经济学， 2021， 博士

【摘要】 粮食是人们生存与发展的基础,保障粮食安全是维护国家稳定社会和谐的重要基石。2021年《政府工作报告》指出:“解决好吃饭问题始终是头等大事,我们一定要下力气也完全有能力保障好14亿人的粮食安全。”粮食价格是反映粮食市场状况的“晴雨表”,粮食价格变动关系着粮食生产和供给,影响着国家的粮食安全。当前,在新冠肺炎疫情冲击和美国新一轮刺激计划实施的影响下,全球通货膨胀加剧,粮食价格大涨,全球粮食危机逼近。在此背景下,研究我国粮食市场垂直价格传导机制和非对称价格传导效应,有助于进一步完善和拓展非对称价格传导研究,正确把握粮食市场运行规律,理清当前我国粮食市场运行机制存在的问题,为粮食价格调控政策和风险防范提供理论参考和经验支撑,也为推进我国粮食市场垂直整合、稳定国内粮食价格、保障国家粮食安全提供政策参考。因此,本文的研究具有重要的理论和现实意义。纵观已有研究成果,目前关于我国粮食市场垂直非对称价格传导的研究还比较少,研究方法相对滞后。已有研究主要考察了上下游两个子系统的价格传导关系,缺乏对粮食市场收购价格、批发价格与零售价格三者之间非对称传导关系的研究。我国粮食市场有其自身特殊性,需要进行深入分析与考察。为此,本文在理论分析的基础上,采用新发展的非线性研究方法从方向非对称性、区制非对称性和波动非对称性三个方面深入考察我国粮食市场收购价格、批发价格与零售价格之间的非对称传导效应。论文的主要工作和成果如下:首先,在已有研究的基础上,系统分析非对称价格传导理论,从市场势力、消费者搜索与消费惯性、政府干预和交易成本等方面具体分析粮食市场垂直价格传导可能存在非对称性的原因。分析表明:从理论上讲,市场势力可能导致粮食市场垂直价格传导存在方向非对称性;消费者搜索和消费惯性理论主要解释了批发价格对零售价格传导存在“正向非对称性”;政府对粮食市场的政策干预可能导致垂直价格传导存在方向非对称性或者区制非对称性;交易成本的存在会使得粮食市场垂直价格传导效应呈现区制非对称性特征。其次,运用NARDL模型从长期和短期两个视角考察我国粮食市场垂直价格传导的方向非对称性,分析当价格上涨与价格下跌时粮食收购价格、批发价格与零售价格之间的长期非对称传导效应和短期非对称传导效应。研究发现,粮食市场垂直价格传导存在长期或短期非对称性,顺向传导一般呈现“正向非对称性”;逆向传导一般呈现“负向非对称性”。然而,玉米批发价格与零售价格顺向传导呈现“负向非对称性”;逆向传导呈现“正向非对称性”。本文认为,存在这种非对称价格传导现象的潜在原因是政府干预和市场势力。我国粮食价格支持政策的实施以及粮食市场纵向供应链上经济主体之间不成比例的市场势力都会导致粮食收购价格、批发价格与零售价格之间的非对称传导。一般而言,零售商具有较强的市场势力,批发商和粮农更可能是价格接受者。然而,对于玉米市场而言,近年来出现了供过于求的局势,使得玉米零售市场不具有价格话语权。再次,运用正则化贝叶斯估计法估计的三区制TVECM从交易成本视角测度我国粮食市场垂直整合程度,并分析当价格偏离均衡程度不同时垂直价格传导的区制非对称性。研究发现,正则化贝叶斯估计结果比传统方法轮廓似然估计的结果更符合市场整合理论;粮食收购市场与批发市场整合程度高于批发市场与零售市场整合程度,大豆市场和玉米市场垂直整合程度低于大米市场和小麦市场垂直整合程度;粮食市场垂直价格传导在不同区制具有非对称性。究其缘由,我国粮食托市收购政策的实施和托市价格的提高,扭曲了国内粮食市场供求平衡,从而影响了粮食市场纵向供应链上价格的良性传递,进而阻碍了粮食市场垂直整合。此外,当价格偏离均衡程度低于交易成本时也可能存在价格传导,意味着我国粮食市场垂直价格传导存在信息传导机制。最后,以粮食市场波动性程度作为门限变量,运用TVAR模型从市场波动性角度考察我国粮食市场垂直价格传导效应的非对称性以及国内外粮食价格传导效应的非对称性。研究发现,粮食市场处于低波动状态与高波动状态时,价格传导效应存在明显的非对称性。其中,在大部分估计结果中,高波动状态时的传导效应大于低波动状态时的传导效应;在玉米和小麦市场部分估计结果中,高波动状态时的传导效应小于低波动状态时的传导效应。价格传导效应存在这种非对称性有两个方面的原因,一方面,由于价格之间存在信息传导机制,通常高波动状态时的价格传导效应更大;另一方面,市场波动性程度高意味着市场不确定性程度高,通常在不确定性程度较高时,人们对外部冲击的变化变得更加敏感,此时粮食价格发生变化会引起粮食市场参与者更大的反应,所以高波动状态时的价格传导效应更大。然而,近年来我国玉米和小麦库存积压严重,不会出现市场恐慌,在不确定性程度较高时,面对外部风险冲击,市场参与者反而会变得更加谨慎,不会轻易调整价格,因此,玉米和小麦市场处于高波动状态时的价格传导效应可能更小。根据上述理论与实证研究结果,本文认为,我国应该接续推进粮食市场化改革,畅通粮食生产、收储、加工和销售各环节,促进粮食产业升级与高质量发展,健全粮食价格信息传导机制,从全球视野来构建国家粮食安全战略,以推进我国粮食市场垂直整合,稳定国内粮食价格,保障国家粮食安全。更多还原

【Abstract】 Food is the basis of people’s survival and development,and ensuring food security is an important cornerstone of maintaining national stability and social harmony.The 2021 "Government Work Report" pointed out: "Solving the problem of food is always the top priority.We must work hard and have the ability to ensure food security for the 1.4 billion people." Grain price is the "barometer" that reflects the situation of grain market.The fluctuation of grain price is related to grain production and supply,and affects the national food security.At present,under the impact of COVID-19 epidemic and the implementation of the new round of stimulus plan in the United States,global inflation is increasing,food prices are soaring,and the global food crisis is approaching.Under this background,studying the vertical price transmission mechanism and asymmetric price transmission effects in China’s grain market can further improve and expand the research on asymmetric price transmission,and also help to correctly grasp the grain market operation rule and find out the problems existing in the current operation mechanism of China’s grain market.This can provide theoretical reference and empirical support for grain price control policies and risk prevention,and also provide policy reference for promoting the vertical integration of China’s grain market,stabilizing domestic grain prices and ensuring national food security.Therefore,the research of this paper has important theoretical and practical significance.Throughout the existing research,there are still few studies on the vertical asymmetric price transmission in China’s grain market,and the research methods are relatively backward.Existing studies have mainly investigated the price transmission between the upstream and downstream subsystems,but there is a lack of research on the asymmetric transmission among the farm price,wholesale price and retail price in grain market.China’s grain market has its own particularity,which needs to be deeply analyzed and investigated.Therefore,on the basis of theoretical analysis,this paper uses the newly developed nonlinear methods to investigate the asymmetric transmission effects among farm price,wholesale price and retail price in China’s grain market from three aspects of direction asymmetry,regime asymmetry and volatility asymmetry.The main work and results of this paper are as follows:Firstly,based on the existing research,this paper systematically expounds the theory of asymmetric price transmission,and specifically analyzes the reasons for the possible asymmetry of vertical price transmission in grain market from the aspects of market power,consumer search and consumption inertia,government intervention and transaction cost.The analysis shows that,theoretically,market power may lead to the direction asymmetry of the vertical price transmission in grain market.The theories of consumer search and consumption inertia mainly explain the "positive asymmetry" in the transmission from wholesale price to retail price.The government’s policy intervention in grain market may lead to the direction asymmetry or regime asymmetry in vertical price transmission.The existence of transaction cost will lead to the regime asymmetry of the vertical price transmission in grain market.Secondly,this paper uses the NARDL model to investigate the directional asymmetry of vertical price transmission in China’s grain market from both long-run and short-run perspectives,and analyzes the long-run asymmetric transmission effects and short-run asymmetric transmission effects among the farm price,wholesale price and retail price when prices rise and fall.The results indicate the presence of asymmetry in the long-run or in the short-run in the vertical price transmission of China’s grain market.In general,the forward price transmission presents "positive asymmetry",and the reverse price transmission presents "negative asymmetry".However,in the transmission between wholesale price and retail price in the corn market,the results are the opposite.This article argues that the underlying reasons for this asymmetric price transmission phenomenon are government intervention and market power.The implementation of China’s grain price support policy and the disproportionate market power among economic entities in the vertical chain of grain market will lead to asymmetric transmission among farm price,wholesale price and retail price in grain market.In general,retailers have stronger market power,and wholesalers and farmers are more likely to be price takers.However,for the corn market,in recent years,there has been a situation of oversupply,which makes the retail market of corn lack of price power.Thirdly,this article applies the three-regime TVECM estimated by the regularized Bayesian estimator to measure the degree of vertical integration in China’s grain market from the perspective of transaction costs,and analyzes the asymmetry of vertical price transmission when prices deviate from equilibrium by different degrees.The results show that the regularized Bayesian estimation results are more consistent with the market integration theory than the profile likelihood estimation results.The farm-wholesale market integration is greater than the wholesale-retail market integration,and the vertical integration of soybean and maize markets are poorer than the vertical integration of rice and wheat markets.The vertical price transmission in China’s grain market is asymmetric in different regimes.The reason is that the implementation of price support policy and the increase of price support level distort the balance of supply and demand in the domestic grain market,thus affecting the benign price transmission in the vertical supply chain of grain market,and hindering the vertical integration of grain market.In addition,price transmission may also occur when the degree of the price deviation from equilibrium is lower than transaction costs,which means that there is an information transmission mechanism in the vertical price transmission of China’s grain market.Finally,taking the level of grain market volatility as the threshold variable,this paper employs the TVAR model to investigate the asymmetry of the vertical price transmission in China’s grain market and the asymmetry of the transmission from international to domestic grain prices from the perspective of market volatility.The results suggest that there is obvious asymmetry in the price transmission when grain market is in the state of low and high volatility.In most of the estimation results,the price transmission effects in a high volatility state are greater than that in a low volatility state.But,in the partial estimation results of wheat and corn markets,the opposite is true.There are two reasons for this asymmetry in the price transmission.On the one hand,due to the information transmission mechanism between prices,the price transmission effects are usually greater in a high volatility state.On the other hand,high market volatility means high market uncertainty.Generally speaking,when there is high uncertainty,people become more sensitive to the changes of external shocks,and changes in grain prices at this time will cause greater reaction of grain market participants,so the price transmission effects in a high volatility state are greater.In recent years,however,corn and wheat inventory backlog serious in China,there will not be a market panic.When there is high uncertainty,in the face of external shocks,market participants will become more cautious and will not easily adjust prices,therefore,the price transmission effects in a high volatility state may be smaller in the corn and wheat markets.Based on the above theoretical and empirical research results,this article believes that China should continue to promote the reform of grain marketization,and unblock all links in grain production,purchase,storage,processing and marketing,accelerate the upgrading and high-quality development of the grain industry,improve the information transmission mechanism of the grain prices,and construct the national food security strategy from a global perspective,so as to promote the vertical integration of China’s grain market,stabilize domestic grain prices,and ensure national food security.更多还原