基于ARCH类模型的国际粮价波动规律研究

An Analysis on the Fluctuations of International Food Prices:ARCH Approach

粮价的波动最终会给一国的粮食安全带来巨大风险。了解国际粮价的波动特征有助于采取相应的措施稳定粮价,避免粮价波动的国际传导对国内粮食市场进而对粮食安全产生不利影响。通过建立ARCH类模型,分析各类粮食国际价格的波动规律。得出的主要结论有:国际粮价波动存在明显的集族性;外部冲击对国际粮价波动具有持久性影响;国际粮食市场不存在高风险高粮价的特征;国际粮价波动具有显著的非对称性,而且粮价上涨的信息引发的粮价波动要大于粮价下降的信息引发的波动。

The paper applies ARCH models to analyzing the fluctuations of international food prices. Our empirical findings point to four conclusions. First, fluctuations of international food prices are characterized by clustering. Second, the external shocks have a lasting impact on food price fluctuations. Third, in the international food market, high risk will not necessarily lead to high food prices. Fourth, fluctuations of international food prices are asymmetric and fluctuations caused by information associated with rising prices are greater than those caused by information associated with falling prices.