Abstract: With the implementation of China′s food price control policy and constant increase of grain price subsidies in China since 2006, grain price also showed a rising trend,which leads to increasingly fierce debate on the effectiveness of food price regulation. Using the domestic and international monthly price data of maize, rice, soybean and wheat, the paper analyzes the linkage relationship between domestic and international food prices from the perspective of cointegration, and tests the effectiveness of domestic grain price policy regulation from the perspective of domestic food price fluctuate itself. The results show that: in the past ten years, the domestic government′s policy control over the four major food prices, cannot bring a smooth grain prices; domestic and international grain price did not show a significant cointegration relationship; with the weakening of the degree of grain price regulation, domestic and international food prices have gradually increased, but there are differences between domestic and international grain prices affect each other in the varieties; grain price fluctuation of domestic soybean has cluster, intertemporal transfer effects and conditional heteroscedasticity characteristics, and corn, rice and wheat price volatility have no significant cluster, intertemporal transfer effects and conditional heteroscedasticity characteristics. Our government should grasp grain varieties and regulation efforts to foster the function of grain market and the national competitiveness of grain prices.

Key words: grain price, market efficiency, control efficiency, VAR model, ARCH model