基于GARCH类模型中国原料奶价格波动实证分析

Empirical Analysis of Raw Milk Price Volatility in China Based on GARCH Model

为揭示中国原料奶价格波动的影响因素及特征,本文采用2007—2019年的月度数据,运用GARCH类模型对中国原料奶价格波动进行了深入的分析。研究发现:中国原料奶价格波动具有显著的集簇性;中国原料奶价格波动具有成本推进型特征,牛肉的价格收益率对原料奶价格波动具有显著负向影响;原料奶价格波动不具有高风险高收益特征;在加入相关控制变量后,中国原料奶价格波动没有显著的非对称性。为此,本文从加强市场监测、强化信息预警及完善价格形成机制三方面提出了稳定原料奶价格波动、促进产业健康发展的政策建议。

In order to reveal the influencing factors and characteristics of raw milk price volatility in China,this paper uses monthly data from 2007 to 2019 and GARCH model to conduct in-depth analysis of Chinese raw milk price volatility.The study finds that:the raw milk price volatility in China has a significant clustering;The volatility of raw milk price has the characteristics of cost propelling,while the price return of beef has a significant negative impact on the raw milk price volatility;The volatility of raw milk price does not have the characteristics of high-risk and high-return;After adding related control variables,there is no significant asymmetry on the raw milk volatility in China.Therefore,this paper puts forward policy suggestions to stabilize the volatility of raw milk price and promote the healthy development of the industry from the three aspects:strengthening market monitoring,strengthening information early warning and improving the pricing mechanism.