我国小宗农产品价格波动特征及其规律研究——基于ARCH类模型的分析

Research on the Characteristics of Small Agricultural Products Price Fluctuations in China and the Fluctuation Pattern——Analysis based on the ARCH class models

我国小宗农产品价格波动走势复杂、波动幅度和特征各不相同,通过研究小宗农产品价格波动特征,发现其波动规律,为农产品市场的健康、稳定和可持续发展提供研究基础,以期更有效地保障我国小宗农产品供给、价格和国际贸易的稳定。本文选取大蒜、生姜、大葱和绿豆这四种小宗农产品的价格序列,运用季节调整、H-P滤波和ARCH类模型对其价格波动特征进行分析。研究结果表明:小宗农产品均具有显著的季节性、周期性和趋势性;小宗农产品价格波动均具有显著的聚集性;生姜和大葱具有“高风险高回报”特征,生姜和绿豆具有显著非对称性。据此,应构建小宗农产品价格波动预警体系,建设全产业链信息平台提高小宗农产品竞争力。

The price fluctuations of small agricultural products in China are complex, the range of fluctuations and characteristics are different. By studying the price fluctuation characteristics of small agricultural products, the fluctuation patterns can be discovered. This will develop the agricultural market healthy, stable and sustainable lay certain research foundation, so as to ensure the stability of the supply, price and international trade of small agricultural products in China more effectively. In this paper, the price series of four small agricultural products,namely garlic, ginger, onion and mung bean, were selected and analyzed by using seasonal adjustment, H-P filtering and ARCH class models.The results of study show that all small agricultural products have characteristics of significant seasonality, cyclicality and trend. The price fluctuations of small agricultural products have significant aggregation. The price fluctuations of ginger and onion have characteristics of "high risk and high return", the ginger and mung bean have significant asymmetry. Accordingly, in order to improve the competitiveness of small agricultural products, the early warning system for price fluctuation of small agricultural products should be constructed and the whole industry chain information platform should be built.