关于我国原料奶价格波动研究——基于马尔科夫区制转移模型的分析

Study on the Fluctuation of Raw milk Price in China——Based on Markov Regime Switching Model

本文基于2006年1月至2016年12月中国原料奶价格月度数据,应用三区制马尔科夫系数和方差转移的一阶自回归(MSAH(3)-AR(1))模型,对我国原料奶价格波动进行实证分析。实证结果表明:MSAH(3)-AR(1)模型较好地拟合了我国原料奶价格的变动情况,且原料奶价格波动具有非对称性和持续性。因此,原料奶价格调控政策应依据各区制特征来制定。最后,提出稳定原料奶价格的政策建议。

Drawing onthe price of domestic raw milk date from January 2006 to December 2016, the paper applied the Markov regime switching model three regime （MSAH （3）-AR （1）） to analyze the characteristics of raw milk in China. Results show that MSAH （3）-AR （1）fitsthe fluctuation of raw milk price in China well. And this model shows asymmetry and persistencecharacteristics. Therefore taking into account the symmetric characteristics of reimes when establishing the price control policies, and proposing suggestionson stabilizing the price fluctuation of raw milk.