农产品价格波动的非对称效应  

The Asymmetric Effect of the Price Fluctuation of Farm Products

作　　者：罗永恒[1] 文先明[1,2] 

机构地区：[1]湖南农业大学经济学院,湖南长沙410128 [2]长沙理工大学经济与管理学院,湖南长沙410114

出　　处：《系统工程》2012年第7期55-61,共7页Systems Engineering

摘　　要：农产品价格指数的误差存在条件异方差问题,还具有杠杆效应。通过应用GARCH系列模型对中国农产品生产价格指数进行研究,发现农产品价格波动特点具有"尖峰厚尾"、非对称性、波动聚集性、零均值等特征。用EARCH模型发现农产品生产价格指数存在非对称效应。当市场出现"利好消息"的时候,农产品价格波动会出现比较大的波动;而当市场出现"利空消息"的时候,其波动比较平稳。The price of farm products is the core element in the agricultural product markets. There exists autocorrelation and conditional heteroskedasticity in the error of the production price indices of farm products and leverage effect. Through a series of GARCH models, we find that the fluctuation of farm product price is characterized by a ＂peak and fat tail＂, symmetry, volatility clustering and zero-mean value. EARCH model can fit the asymmetrical effect of production price indices of farm products. When ＂good news＂ hits farm product markets, there will be big fluctuation in production price indices of farm products. When bad news hits farm product markets, the fluctuation of production price indices of farm products is relatively stable.

关 键 词：非对称效应 农产品价格波动 EGARCH模型 

分 类 号：F304[经济管理—产业经济]