俄罗斯与乌克兰是国际上重要的粮食生产与出口大国，在全球粮食市场中具有重要的地位。本报告基于2021年11月1日至2022年12月31日的日度数据，并运用DCC-MGARCH计量模型，系统分析了2022年2月24日爆发的俄乌冲突对国际、国内粮食价格的影响。研究发现：一是从国际来看，俄乌冲突期间国际玉米、小麦、大豆价格均一度呈现迅速上涨态势，均受到俄乌冲突的显著正向影响，并存在较大的相互正向波动溢出效应；二是从国内来看，相比国际粮价上涨幅度，俄乌冲突期间中国国内玉米、小麦、大豆价格上涨幅度较小，且玉米和小麦价格也受到俄乌冲突的显著正向影响；三是中国国内玉米和小麦价格与国际三类粮价之间存在相互波动溢出效应，这加剧了俄乌冲突对中国粮价波动的影响。中国粮食自给自足能力较强，但维护中国粮食安全仍需要关注地缘政治风险及其导致的多个关联市场间的溢出效应对中国粮食市场的冲击。
In the global food market，Russia and Ukraine are important food producing and exporting countries. Based on daily data from November 1，2021 to December 31，2022，using the DCC-MGARCH model，we systematically analyze the impact of the Russia-Ukraine conflict on international and domestic food prices，which broke out on February 24，2022. We find that：firstly，international corn，wheat，and soybean prices show rapid increases during the Russia-Ukraine conflict，all of which are significantly positively affected by the Russia-Ukraine conflict；Secondly，there is a large spillover effect of mutual positive fluctuations among international corn，wheat，and soybean prices，which exacerbates the impact of the Russia-Ukraine conflict on international food price fluctuations；Thirdly，compared with the increase in international food prices，China’s domestic corn，wheat and soybean prices increase less during the Russia-Ukraine conflict，and corn and wheat prices are also significantly positively affected by the Russian-Ukrainian conflict；Fourthly，there is a mutual volatility spillover effect between China’s domestic corn and wheat prices and the three types of international food prices，which exacerbates the impact of the Russian-Ukrainian conflict on China’s food price volatility. We show that although China has a strong capacity for food self-sufficiency，maintaining China’s food security still requires to pay attention to the impact of geopolitical risks and their resulting spillover effects among multiple linked markets on China’s food market.
