中国棉花价格波动规律研究——基于X12和H-P滤波法的实证分析

Study on the Fluctuation Rules of Cotton Price in China——An empirical analysis based on census X12 and H-P filtering

以2002年9月-2020年6月间214个月度中国棉花价格数据为基础,运用X12季节调整法、H-P滤波法及比重法对中国棉花价格波动规律进行了研究.结果表明,中国棉花价格波动的主导因素是趋势因素,其次是周期性因素,季节因素和不规则因素对棉花价格波动的影响极小;2014年后季节性因素波动显著减弱;趋势因素总体上呈现倒"V"字型的特征;中国棉花价格波动的平均周期为36.2个月;趋势因素、周期因素、季节因素、不规则因素对中国棉花价格波动的平均贡献率分别为101.6581%、1.6872%、0.0067%、0.0067%.最后,依据研究结论提出了降低棉花价格波动风险的政策启示.

Based on 214 monthly data of Chinese cotton price from September 2002 to June2020,this paper studied the fluctuation rules of Chinese cotton price by using X12 seasonal adjustment method,H-P filtering method and proportion method.The results show that the dominant factor of cotton price fluctuation in China is trend factor,followed by cyclical factor,seasonal factor and irregular factor have little influence on cotton price fluctuation.After 2014,seasonal factor fluctuations were significantly reduced.The trend factor presents the characteristics of inverted "V".The average cycle of cotton price fluctuation in China is 36.2 months.The average contribution rate of trend factor,cycle factor,seasonal factor and irregular factor to cotton price fluctuation in China is 101.6581%,-1.6872%,0.0067%,0.0067% respectively.Finally,according to the research conclusion,the policy enlightenment is proposed to reduce the risk of cotton price fluctuation.