储备棉轮入轮出机制对国内外棉花价格的传递效应分析*——基于VAR模型

ANALYSIS OF THE TRANSFERING EFFECT OF COTTON IMPORTING AND EXPORTING MECHANISM ON DOMESTIC AND FOREIGN COTTON PRICE*——BASED ON VAR MODEL

关键词:  VAR模型储备棉轮入轮出机制棉花价格格兰杰因果检验协整检验

Key words:  VAR model  reserve cotton rotation mechanism  cotton price  Granger causality test  cointegration test

摘要:

在棉花补贴政策受到WTO条款质疑的背景下，储备棉轮入轮出机制成为开放市场背景下政府宏观调控的有效手段。［目的］利用1978—2016年度数据，分析储备棉轮入轮出机制对国内外棉花价格的传递效应，探索符合市场规律的储备棉轮入轮出机制的运行规律及对国内外棉花价格的传递效应，就完善政策对棉花市场的调控提出有效建议。［方法］综合利用VAR模型，协整检验、格兰杰检验等计量方法对储备棉实施期间储备棉轮入轮出价格、国际棉花价格和国内棉花价格之间的关联效应、相互影响程度进行分析。［结果］储备棉轮入轮出价格、国内棉花价格、国际棉花价格三者之间存在长期协整关系； 由于储备棉加入棉花市场，我国棉花进口量减少，储备棉轮入轮出机制对国内棉花价格具有显著传递效应，对国际棉花价格的传递效应不显著，棉花进口量的增加对储备棉政策发挥具有抑制作用； 国内棉花价格、储备棉轮入轮出价格与国际棉花价格具有相互传递效应。通过脉冲效应和方差分解可知，除自身影响外，国内棉花价格对国际棉花价格和储备棉价格波动影响较大； 储备棉对国内外棉花价格波动的影响程度有待加强。［结论］因此，要通过对储备棉轮入轮出机制规律的把握、市场的动态变化进一步稳定储备棉调控机制，保证储备棉轮入轮出机制运行常态化； 同时借助市场监测系统、通讯技术等进一步完善棉花市场信息监测机制，实时监测国内外棉花价格的联动性以稳定国内棉花价格，在此基础上充分发挥政策调控对稳定价格的积极作用。

Abstract:

Under the background that the cotton subsidy policy is questioned by the WTO provisions, the reserve cotton turn in and turn off policy has become an effective means for the government′s macro control in the context of an open market. This study used the data from 1978 to 2016 to analyze the transfer effect of reserve cotton turn in and turn out policy on cotton price at domestic and abroad, and explored the operation rule of reserve cotton turn in and turn out policy in line with market rules and the price of cotton at domestic and abroad. The transfer effect provides effective suggestions for improving the regulation of the cotton market. The VAR model, cointegration test, Granger test and other measurement methods were used to analyze the correlation effect and mutual influence degree between reserve cotton turn in and turn out price, international cotton price and domestic cotton price during the implementation of reserve cotton turn in and turn out policy. There is a long term cointegration relationship between reserve cotton turn in and turn out price, domestic cotton price and international cotton price. As cotton reserves are added to the cotton market, China′s cotton imports are reduced. The cotton price has a significant transmission effect on domestic price, but the transmission effect on international cotton price is not significant. The increase of cotton import has a restraining effect on the reserve cotton policy; the domestic cotton price, the reserve cotton turn in and turn out price and the international cotton price have a mutual transmission effect. Through pulse effect and variance decomposition, domestic cotton prices have a greater impact on international cotton prices and reserve cotton price fluctuations; the impact of reserve cotton on domestic and international cotton price fluctuations needs to be strengthened. Therefore, it is necessary to further stabilize the reserve cotton control policy by grasping the regularity of the reserve cotton turn in and turn off policy and the dynamic changes of the market, and ensure the normal operation of the reserve cotton turn in and turn out policy. At the same time, the market monitoring system and communication technology are utilized. It should further improve the cotton market information monitoring mechanism, monitor the linkage of cotton prices at home and abroad in real time to stabilize domestic cotton prices, and on this basis, give full play to the positive effects of policy regulation on price stability.