基于VAR模型的蚕茧丝价格关联分析

Correlation Analysis of Silk Price and Cocoon Price Based on VAR Model

根据1979-2013年的统计数据,运用协整检验、VAR模型、脉冲响应函数和方差分解法,揭示了我国蚕丝价格与蚕茧价格间的相互影响关系。结果表明:蚕丝价格和蚕茧价格间存在长期稳定的均衡关系;蚕丝价格与蚕茧价格具有双向的Granger因果关系;VAR(3)模型及脉冲响应分析表明,蚕丝价格与蚕茧价格对来自彼此的冲击响应是非渐进式的;方差分解分析显示:蚕茧价格受自身波动的影响较大,蚕丝价格对蚕茧价格的预测方差贡献度较小;蚕丝价格受其自身影响较大,蚕茧价格对蚕丝价格的预测方差贡献度最终会收敛于24.5%左右。

Based on the data during 1979- 2013,the mutual influences between cocoon price and silk price were analyzed using co- integration test,VAR model,impulse response function and variance decomposition method. The results showed that there were a long- term stable equilibrium relationship and a bidirectional Granger causal relationship between cocoon price and silk price. The VAR（ 3） model and impulse response analysis showed that the impact responses of cocoon price and silk price to each other were non progressive. The results of variance decomposition showed that the cocoon price was greatly affected by its own volatility,and the forecast variance contribution of silk price to cocoon price was small; the silk price was also influenced by its own influence greatly,and the forecast variance contribution degree of cocoon price to silk price would eventually converge to about 24. 5%.