产品质量视域下我国化肥价格的非对称传导分析
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摘要
质量作为产品的重要属性,其在价格传导中的作用并未得到重视。在运用门槛回归和协整分析的基础上,构建非对称误差修正模型,实证分析煤炭价格与低端、高端尿素价格的非对称性传导特征与机制。实证结果显示:低端、高端尿素价格的传导规律不尽相同。首先,在价格波动格兰杰因果关系方面,低端尿素价格会受到煤炭价格和高端尿素价格波动的影响,而高端尿素价格则不然;其次,长期来看,低端、高端尿素价格与煤炭价格之间存在负向非对称价格传导,煤炭价格的波动会引起低端尿素价格的负向非对称波动,而对高端尿素价格而言,这种影响不显著。
As an important attribute of products, their quality has not been taken seriously in the role of price transmission. On the basis of threshold regression and cointegration analysis, this paper constructs an asymmetric error correction model and empirically analyzes the characteristics as well the mechanism of asymmetric transmission of coal price and low-end, high-end urea prices. The empirical results show that the transmission law of low-end and high-end urea prices are not the same. First, in terms of Granger causality of prices fluctuation,low-end urea prices will be affected by fluctuation in coal prices and high-end urea prices, while high-end urea prices will not. Second, in the long run, there is a negative asymmetric transmission between low-end, highend urea prices and coal prices. The fluctuation of coal prices will cause negative asymmetric fluctuation of lowend urea prices, but for high-end urea prices, such effect is not prominent.
As an important attribute of products, their quality has not been taken seriously in the role of price transmission. On the basis of threshold regression and cointegration analysis, this paper constructs an asymmetric error correction model and empirically analyzes the characteristics as well the mechanism of asymmetric transmission of coal price and low-end, high-end urea prices. The empirical results show that the transmission law of low-end and high-end urea prices are not the same. First, in terms of Granger causality of prices fluctuation,low-end urea prices will be affected by fluctuation in coal prices and high-end urea prices, while high-end urea prices will not. Second, in the long run, there is a negative asymmetric transmission between low-end, highend urea prices and coal prices. The fluctuation of coal prices will cause negative asymmetric fluctuation of lowend urea prices, but for high-end urea prices, such effect is not prominent.
引文
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[31] Abdulai A. Using Threshold Cointegration to Estimate Asymmetric Price Transmission in the Swiss Pork Market[J].Applied Economics,2002(6):679-687.
[32]Enders W,Granger C W J.Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest[J].Journal of Business&Economic Statistics, 1998(3):304-311.
[33]Enders W,Siklos P L.Cointegration and Threshold Adjustment[J].Journal of Business&Economic Statistics,2001(2):166-176.
[34]Chan K S.Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model[J].Annals of Statistics,1993(1):520-533.
[35] Frey G, Manera M. Econometric Models of Asymmetric Price Transmission[J]. Journal of Economic Surveys,2007(2):349-415.
[36] Peltzman S. Prices Rise Faster than they Fall[J].Journal of Political Economy, 2000(3):466-502.
[2]Borenstein S,Cameron A C,Gilbert R. Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes?[J].The Quarterly Journal of Economics,1997(1):305-339.
[3]Radchenko S. Oil Price Volatility and the Asymmetric Response of Gasoline Prices to Oil Price Increases and Decreases[J].Energy Economics,2005(5):708-730.
[4]Abdulai A. Spatial Price Transmission and Asymmetry in the Ghanaian Maize Market[J].Journal of Development Economics,2000(2):327-349.
[5]Ward R W.Asymmetry in Retail, Wholesale, and Shipping Point Pricing for Fresh Vegetables[J].American Journal of Agricultural Economics,1982(2):205-212.
[6]Serra T, Goodwin B K. Price Transmission and Asymmetric Adjustment in the Spanish Dairy Sector[J].Applied Economics,2003(18):1889-1899.
[7] Ball L, Mankiw N G. Asymmetric Price Adjustment and Economic Fluctuations[J]. Economic Journal,1994(423):247-261.
[8] Kinnucan H W, Forker O D. Asymmetry in Farm-Retail Price Transmission for Major Dairy Products[J]. American Journal of Agricultural Economics,1987(2):285-292.
[9] Griffith G R, Piggott N E. Asymmetry in Beef,Lamb and Pork Farm-Retail Price Transmission in Australia[J].Agricultural Economics,1994(3):307-316.
[10] Cramontaubadel S V. Estimating Asymmetric Price Transmission with the Error Correction Representation:An Application to the German Pork Market[J].European Review of Agricultural Economics, 1998(1):1-18.
[11]Dobson P W, Michael W. Countervailing Power and Consumer Prices[J].Economic Journal,1997(441):418-430.
[12]Gardner B L. The Farm-Retail Price Spread in a Competitive Food Industry[J]. American Journal of Agricultural Economics,1975(3):399-409.
[13]Brorsen B W,Chavas J, Grant W R, et al. Marketing Margins and Price Uncertainty:The Case of the U.S. Wheat Market[J]. American Journal of Agricultural Economics,1985(3):521-528.
[14]Bettendorf L,Verboven F. Incomplete Transmission of Coffee Bean Prices:Evidence from the Netherlands.[J].European Review of Agricultural Economics,2000(27):1-16.
[15]Xia T,Li X.Consumption Inertia and Asymmetric Price Transmission[J]. Journal of Agricultural&Resource Economics,2010(2):209-227.
[16]Blinder A S.Inventories and Sticky Prices:More on the Microfoundations of Macroeconomics.[Z]. 1982(72):334-349.
[17]宋长鸣,李崇光,徐娟.中美农产品市场整合及其价格传导机制研究——以大豆市场为例[J].世界经济研究,2013(3):35-40.
[18]陈飞,王娟.我国稻谷市场整合测度及非对称价格传导机制研究[J].统计与决策, 2014(18):112-116.
[19]黄春全,司伟.国际甘蔗燃料乙醇与食糖市场间的非对称价格传导效应[J].经济问题探索,2014(2):123-130.
[20]潘方卉,李翠霞.生猪与猪肉间价格传导机制的区制转移与非对称性特征研究[J].商业研究,2014(2):30-36.
[21]许世卫,李哲敏,董晓霞等.中国农产品在产销间价格传导机制研究[J].资源科学, 2010(11):2092-2099.
[22]顾国达,方晨靓.农产品价格波动的国内传导路径及其非对称性研究[J].农业技术经济,2011(3):12-20.
[23]Jaffry S. Asymmetric Price Transmission:A Case Study of the French Hake Value Chain[J]. Marine Resource Economics. 2004(4):511-523.
[24]王思舒,郑适,周松.我国猪肉价格传导机制的非对称性问题研究——以北京市为例[J].经济纵横,2010(6):84-87.
[25]李治国,郭景刚.中国原油和成品油价格的非对称实证研究——基于2006年-2011年数据的非对称误差修正模型分析[J].资源科学,2013(1):66-73.
[26]潘方卉,李翠霞.生猪产销价格传导机制:门限效应与市场势力[J].中国农村经济, 2015(5):19-35.
[27]杨志波.我国猪肉市场非对称价格传导机制研究[J].商业研究,2013(2):121-128.
[28]董晓霞.中国生猪价格与猪肉价格非对称传导效应及其原因分析——基于近20年的时间序列数据[J].中国农村观察,2015(4):26-38.
[29]巩前文,穆向丽,谷树忠.大宗能源价格波动对国内化肥价格的影响[J].资源科学,2014(7):1402-1407.
[30]Engle R F,Granger C W J. Co-Integration and Error Correction:Representation, Estimation, and Testing.[J].Econometrica,1987(2):251-276.
[31] Abdulai A. Using Threshold Cointegration to Estimate Asymmetric Price Transmission in the Swiss Pork Market[J].Applied Economics,2002(6):679-687.
[32]Enders W,Granger C W J.Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest[J].Journal of Business&Economic Statistics, 1998(3):304-311.
[33]Enders W,Siklos P L.Cointegration and Threshold Adjustment[J].Journal of Business&Economic Statistics,2001(2):166-176.
[34]Chan K S.Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model[J].Annals of Statistics,1993(1):520-533.
[35] Frey G, Manera M. Econometric Models of Asymmetric Price Transmission[J]. Journal of Economic Surveys,2007(2):349-415.
[36] Peltzman S. Prices Rise Faster than they Fall[J].Journal of Political Economy, 2000(3):466-502.