基于HP滤波模型的农产品价格波动分析——以水果为例

Analysis on Price Volatility of Agricultural Products Based on HP Filter Model——A Case Study of Fruits

运用2001-2011年的鲜果零售价格数据,分析了我国水果价格波动主要特征,运用X11季节调整模型实证分析季节性因素对我国水果价格波动的影响;运用HP滤波分解模型将2001—2011年我国水果价格指数序列分解为趋势值序列和波动值序列,据此考察我国水果价格长期波动的趋势,并对短期波动的周期进行划分。研究发现:我国水果价格具有稳步上涨的长期趋势,但季节性因素、不可观测性因素及国际经济因素会使价格在短期内剧烈波动;此外,研究期内我国水果价格波动可划分为7个周期,各周期持续的时间长度、谷-峰落差都不尽相同,研究末期水果价格波动的幅度和频率都明显提高。提出为了稳定我国水果价格,有必要从生产、消费及进口方面采取针对性措施对水果价格加以调控。

Based on quantitative analysis of fruit price volatility in China,this paper uses X11 seasonal adjust model to empirically analyze the influence of seasonal factor on the price volatility of fruits in China. Then,HP filter model is used to filter the trend component and the cycle component from the fruits price index from 2001-01 to 2011-01 ,on which the long-term trend and the short-term cycle of the fruits price are studied. The result shows that the fruit price tends to rise steadily,meanwhile,some seasonal, invisible or international economic factors make fruits price sharply volatile in short term. Besides, fruit price volatility can be divided into 7 cycles in the study period,each cycle differs from the other because of their volatile ranges and frequencies. What＇s more, the volatile ranges and frequencies are ampli- fying recently. Therefore,this paper points out that some effective measures should be taken to control the fruit price from the aspects of production,consumption and import in order to stablize fruit price in China.