摘要
近年来农产品价格波动频繁,结构特征明显,主要是因为受到生猪、棉花、大豆、胶脂果实类林产品和稻谷等农作物价格波动的影响。利用广义误差分布的ARCH类模型对主要农产品价格波动特征进行分析,结果表明:棉花价格没有显著的异方差效应;生猪、大豆和稻谷的价格波动具有显著的集聚性,但其市场并没有表现出高风险高回报的特征;稻谷价格波动具有显著的非对称性,但大豆和生猪的价格波动没有显著的非对称性。基于GED的ARCH类模型提高了模型的拟合效果,可以更好地分析中国主要农产品价格波动特征。
In recent years, price of agricultural products has been frequently fluctuated. Meanwhile, the structural feature of price fluctuation is increasingly significant, mainly affected by the price volatility of pigs, cotton, soybeans, fruits crops and rice. The empirical analysis results based on GED of ARCH- type models show as follows: there is no significant conditional heteroskedasticity in cotton price fluctuation. The price fluctuation of pigs, soybeans and rice takes on the significant volatility clustering, but their markets don't show the characteristics of high--risk and high--return. Moreover, the rice price has a significant asymmetric volatility, but the price of pigs and soybeans don't show significant asymmetry. ARCH type models based on GED can improve the model fitting result so as to better analyze the characteristics of China's agricultural price fluctuations.
出处
《统计与信息论坛》
CSSCI
2012年第6期59-65,共7页
Journal of Statistics and Information
基金
教育部人文社会科学研究项目<普惠金融视角下的我国农村金融体系构建与完善对策研究>(10YJC790338)
黑龙江省教育厅人文社科基金项目<黑龙江省农产品价格波动的影响因素及调控研究>(12522076)
黑龙江省自然科学基金项目<黑龙江省小额农贷的风险控制研究>(G201002)
关键词
农产品价格
波动特征
广义误差分布
ARCH类模型
price of agricultural product
fluctuation characteristics
Generalized Error Distribution
ARCH--type models