摘要
研究中国农产品价格波动的特征,对于有针对性地采取政策措施,以稳定我国农产品价格是非常有意义的.因此,利用非对称成分ARCH模型来深入分析我国农产品价格的波动以及波动的非对称性.实证结果表明:棉花、玉米、大豆、小麦和籼稻五种主要农产品价格波动都有显著的集群特征,其中玉米和籼稻价格没有显著的异方差效应;棉花、大豆和小麦价格的波动具有非对称性,即价格上涨的所发出的信号引发的价格波动,会比价格下跌所发出的信号引发的价格波动大.最后提出了相应的政策建议.
In order to take the appropriate policies to stabilize agricultural products＇ price, it is an important practical significance to understand the fluctuation characteristics of agri- cultural products＇ price. This paper uses asymmetric component ARCH model to study the clustering and asymmetry features of China＇s agricultural products＇ price. The results show that cotton, maize, soybean, wheat and rice price volatility has significant clustering feature. Except rice, the other four agricultural products have heteroscedasticity effects. Cot- ton, soybean and wheat price fluctuations have asymmetric effect which means information of rise in price causes high volatility while information of price decline causes low volatility. Finally, there axe corresponding policy recommendations.
出处
《数学的实践与认识》
北大核心
2015年第8期111-117,共7页
Mathematics in Practice and Theory
基金
国家自然科学基金面上项目"食品价格上涨对城镇居民消费行为的影响与政策选择研究"(71273096)
闽南师范大学杰出青年科研人才培养计划项目(SJ12007)
