农产品价格的长期和短期波动分析——以玉米、棉花、生猪为例

Permanent and Transitory Volatilities of Agricultural Products Prices——Taking Maize,Cotton and Hog as Examples

利用成分广义自回归条件异方差(CGARCH)和非对称成分广义自回归条件异方差(ICGARCH)模型考察了中国玉米、棉花、生猪等农产品价格波动的非对称性、长期和短期时变特征。玉米和棉花价格的波动具有非对称性,玉米价格下降会导致价格波动增大,棉花价格下降会导致价格波动减小;生猪价格波动不具有非对称性;玉米和生猪的价格波动以长期波动为主,棉花价格波动中短期成分占主导地位。结论对于政府采取相应的价格调控政策或市场参与者从事价格风险管理对策具有重要参考。

This study examined the asymmetry,permanent and transitory components of volatilities on maize,cotton,and hog prices in China using CGARCH and ICGARCH models.We found that the volatility of maize and cotton showed asymmetry,negative shocks on maize prices to transitory component induce increased volatility than positive ones of the same amount,while the volatility of cotton prices has characteristic of decreased volatility caused by negative shocks.The volatility of hog prices did not show any asymmetry.The decomposition of volatilities of maize and hog prices indicated that the permanent component was the most important factor to explain the total variance,and the transitory component of cotton price volatility had more impacts on the total volatility.These results provided important implications for policymakers to adapt more reasonable price policies and for market participants to engage in price risk management.