农产品价格波动的非对称性研究  

A Research on Asymmetric Price Fluctuation of Agricultural Products

作　　者：李正辉[1] 徐亚丽[1] 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410082

出　　处：《湖南大学学报（社会科学版）》2014年第1期53-57,共5页Journal of Hunan University(Social Sciences)

基　　金：国家社会科学基金项目(12BTJ012);教育部新世纪优秀人才支持计划(NCET-12-0173);博士后基金项目(2013M531777)

摘　　要：采用B-P滤波对1999-2012年我国农产品价格指数进行处理,观测到我国农产品价格呈现出4个波动性周期,并且表现出明显的不可重复性和非对称性;再利用描述性统计分析与非对称GARCH族实证模型相结合的方法检验我国农产品价格波动的非对称性;实证结果表明我国农产品价格波动的非对称性具有稳健性特征,并且EGARCH模型描述我国农产品价格波动的非对称性更为有效。最后绘制EGARCH模型的市场信息冲击曲线,进一步验证结论。Through the B-P filtering method,our country’s fluctuation of agricultural products price during 1999-2012 can be divided into four periods,which showed obvious unrepeatability and asymmetry characteristics.To combine descriptive statistical analysis with empirical analysis using asymmetric GARCH class models,the result verifies that asymmetry in agricultural product price fluctuation exists. And asymmetry has through statistics and economic test of the models.Empirical process shows that a-symmetry of agricultural product price fluctuation has robustness characteristics and EGARCH can de-scribe this asymmetry more effectively.Finally draw market information impact curve of EGARCH model to further verify the conclusion.

关 键 词：农产品 价格波动 非对称性 

分 类 号：F322[经济管理—产业经济]