基于VEC模型分析新疆棉花价格空间传导关系

【目的】分析我国新疆棉花价格与全国棉花价格、国际棉花价格的横向传导机理和规律,为完善新疆棉花价格形成机制及棉花市场风险管理提供参考。【方法】采用向量误差修正模型,选取2007~2019年新疆328级棉花现货价格、全国328级棉花现货价格和国际棉花价格CotlookA指数月度数据,研究三者之间的传导关系。【结果】我国新疆棉花价格、全国棉花价格与国际棉花价格,三者之间存在协整关系,国际棉花价格每变动1%,使新疆棉花价格变动1.103%、国内棉花价格变动1.065%。短期,国际棉花价格对新疆和全国棉花价格的传导效应明显,上一期国际棉花价格每变动1%,使本期我国新疆棉花价格变动0.241%、本期全国棉花价格变动0.3%。我国新疆棉价及全国棉价均受国际棉花价格的单向影响,我国新疆棉价与全国棉价之间没有显著的影响关系。【结论】我国新疆棉花现货市场与国际棉花现货市场日益紧密相关,国际棉花现货价格对我国新疆棉花现货价格起主要的引导作用,我国新疆棉花市场被动接受其他市场的价格波动输出,导致新疆棉花价格波动的风险高。

Research on Spatial Transmission of Cotton Price in Xinjiang Based on VEC Model

【Objective】 To analyze the spatial transmission mechanism and law among Xinjiang cotton price, national cotton price and international cotton price in the hope of providing an important reference basis for perfecting Xinjiang cotton price formation mechanism and cotton market risk management. 【Methods】 The Vector Error Correction (VEC) Model was used, the 2007-2019 Xinjiang cotton spot price, China’s 328 standard cotton price and the international cotton price Cotlook A Index monthly data were chosen to investigate the spatial transmission relationship of Xinjiang cotton prices. 【Results】 From a long-term perspective, there was an equilibrium relationship between international cotton prices and Xinjiang cotton prices as well as the national cotton price series. 1% change in international cotton prices causes a 1.103% change in Xinjiang cotton prices and a 1.065% change in domestic cotton prices. In the short term, international cotton price fluctuations had a significant transmission effect on Xinjiang cotton prices and national cotton prices. 1% change in the 1st order difference term of international cotton price in the previous period caused a 0.241% change in the 1st order difference term of Xinjiang cotton price and 0.3% change in the 1st order difference term of national cotton price. Granger causality test results showed that both Xinjiang cotton prices and national cotton prices were unidirectionally affected by international cotton prices, and there was no significant influence between Xinjiang cotton prices and national cotton prices. 【Conclusion】 The Xinjiang cotton spot market is closely related to the international cotton spot market. The changes in international cotton spot prices play a leading role in the changes in Xinjiang cotton spot prices. The Xinjiang cotton market passively accepts the output of price fluctuations in the relevant market, and the Xinjiang cotton market is the transfer price of the relevant market, leading to the high risk of cotton price volatility risk in Xinjiang.