Abstract:

In order to study the effect of macroeconomic indicators on prices fluctuation of agricultural products and analyze the characteristics of price fluctuation of agricultural products under the impact of macroeconomic indicators, this paper discussed the mechanism of policy role. Econometric method was adopted to establish a vector error correction model (VEC), and on this basis, carried out pulse and variance analysis, so as to study the comprehansive effects of multiple macroeconomic indicators on price fluctuation of agricultural products. Results showed that cointegration relationship existed between the index of agricultural production price index and narrow money supply quantity index, social average wage index and inhabitant consumer price index, etc. macroeconomic indicators. Macroeconomic indicators of narrow money supply index, social average wage index and inhabitant consumer price index were Granger cause of agricultural production price index. The impact of macroeconomic indicators on price fluctuation of agricultural products was from strong to weak as follows in order: narrow money supply, inhabitant consumer price index and social average wage index.

Key words: price of agricultural products, macroeconomic indicator, vector error correction, cointegration test, causality test

摘要：

为了深入研究宏观经济指标对农产品价格波动的影响，分析在宏观经济指标冲击下农产品价格波动的特征, 探讨农产品价格波动的政策作用机制。采用经济计量学方法，建立向量误差修正模型(VEC)，并在此基础上进行脉冲分析和方差分析，以研究多个宏观经济指标对农产品价格波动的综合影响。研究表明:农产品生产价格指数与狭义货币供应量指数、社会平均工资指数以及居民消费价格指数等宏观经济指标之间存在协整关系；狭义货币供应量指数、社会平均工资指数和居民消费价格指数等宏观经济指标是农产品生产价格指数的Granger原因；宏观经济指标对农产品价格波动的影响由强到弱依次为:狭义货币供应量、居民消费价格指数和社会平均工资指数。

关键词: 农产品价格；宏观经济指标；向量误差修正模型；协整检验；因果检验