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基于1998年1月9日至2012年6月22日全国小麦、玉米批发市场价格指数的周数据,利用非对称成分ARCH模型和VAR模型分别对双轨制时期和市场化时期粮食价格波动的特征和波动关系进行了实证分析,结果表明:市场化时期小麦市场和玉米市场的价格波动程度明显小于双轨制时期两市场的价格波动程度;从短期波动来看,双轨制条件下,小麦市场具友价格波动的非对称性,而玉米市场未呈现出价格波动的非对称性;市场化条件下,小麦市场和玉米市场间价格波动冲击的相互作用更加明显、持续时间更长,表明两市场价格波动受外部冲击的影响更为显著,且市场通过自身调节达到均衡的能力更强。
Based on the weekly data of the price index of wheat and corn in the whole country from January 9, 1998 to June 22, 2012, using the ARCH model and the VAR model with asymmetric composition, the paper analyzes the characteristics and fluctuations of food price volatility during the dual-track system and the market-oriented period respectively The results show that the price volatility of the wheat market and the corn market in the market-oriented period is obviously less than that of the two markets in the dual-track system. From the perspective of short-term fluctuations, under the dual-track system, Symmetry, while the corn market has not shown the asymmetry of price volatility; under the market conditions, the interaction of the price fluctuation impact between the wheat market and the corn market becomes more obvious and lasts longer, indicating the external shocks to the fluctuation of the prices of the two markets The impact is more significant, and the market is more able to reach equilibrium through self-regulation.