Based on the monthly international and domestic price data of wheat,maize and rice from January 2003 to December 2015,this paper uses VECDCCGARCH model to analyze the mean value and volatility spillover effect between international and domestic grain prices before and after the implement of grain price support policy.The result shows that the mean value spillover effect between international and domestic grain prices is weakened by the implementation of grain price support policy.There is a volatility spillover effect between international and domestic grain prices before the implementation of grain price support policy,which is disappeared after the implementation of grain price support policy.Meanwhile,the persistence of the relationship between international and domestic grain price is weakened.This shows that the implementation of grain price support policy decreases the shock to domestic grain market from the international market to some extent,.However,it makes some distortions to the domestic grain market at the same time.Therefore,this paper proposes that we should give full play to the market in price discovery and the role of allocating resources on the basis of ensuring food security,and reform and improve grain price formation mechanism as soon as possible in China.