中国粮食市场收购价的特殊波动规律性

Special Fluctuation Regularity of Purchasing Price of Grain Market of China

基于2004年3月~2016年6月粮食收购价格指数的月度数据,建立ARCH-M、EGARCH和CGARCH模型对中国粮食收购价格总指数基本波动特征、总体波动率、长期波动率和短期波动率的规律性进行描述性统计分析和计量分析。结果表明:中国粮食价格波动呈现出明显的集簇特征;粮食市场并没有呈现出高风险高收益的特点;粮食价格指数的波动具有显著的非对称性;粮食价格波动逐步收敛于稳定状态,最低收购价政策起到了稳定价格作用。

Based on the monthly data of grain purchasing price index from March 2004 to June 2016, this paper establishes the ARCH-M, EGARCH and CGARCH models to analyze the basic fluctuation characteristics, overall volatility, longterm volatility and short-term volatility of the total index of China＇s grain purchase price. The results show that the grain price fluctuation in China has significant clustering characteristics; while the grain market does not show the characteristics of high risk and high yield; the fluctuation of grain price index has significant asymmetry; the fluctuation of grain price gradually converges to stable state, and the minimum purchasing price policy has played a stable price role.