中国粮食价格波动特征研究——基于X-12-ARIMA模型和ARCH类模型

Analysis on the Price Fluctuation of Grain Product in China:Based on the X-12-ARIMA Model and the ARCH-type Models

以小麦和大豆为例,研究2002年1月至2012年6月中国粮食价格波动特征。首先利用X-12-ARIMA模型对价格序列进行季节调整,然后运用ARCH类模型对剥离季节因素的价格序列进行波动分析。结果发现:中国粮食价格季节性波动逐年减弱;粮食价格具有明显的波动集簇性,前期价格波动和外部冲击对后期价格的影响具有持续性;粮食市场不存在"高风险、高回报"特征;小麦价格波动的非对称性不显著,而大豆价格波动则呈现明显的非对称特征,且上期价格上涨信息引发的波动要大于下跌信息。

Based on monthly price data of wheat and soybean from January 2002 to June 2012, the paper takes a seasonal adjustment to those price data of wheat and soybean by using the X-12-ARIMA model and analyses the traits of volatility by using the ARCH-type models. The result shows that the seasonal volatility of grain price tends to fade year by year in China. The price of grain takes on the significant clustered volatility, external impact and the pre-price volatility have a continuing effect on the later price. Meanwhile, the grain market doesn＇t show the characteristics of high-risk and high-reward. The volatility of wheat price shows an insignificant asymmetry, while soybeans＇ price volatility represents an overt asymmetry feature with larger fluctuation caused by price increasing information than the decreasing information.