猪肉价格波动与通货膨胀相依关系研究  

Research on the Interdependence between Inflation and Price Fluctuation of Pork

作　　者：张国富[1] 杜子平[1] 

机构地区：[1]天津科技大学经济与管理学院,天津300222

出　　处：《商业研究》2015年第1期23-27,共5页Commercial Research

基　　金：天津市哲学社会科学规划课题;项目编号:TJYY13-047

摘　　要：本文将具有资本品特征的农产品称为资产化农产品,以猪肉作为资产化农产品的代表,利用五种Copula函数计算了通货膨胀率序列和猪肉价格指数收益序列的相依系数;通过AIC和BIC法则选择Frank Copula为最优模型,并基于Frank Copula模型计算了通货膨胀率和猪肉价格波动率之间的Kendall’τ和Spearman’ρ相依系数。结果表明通货膨胀率和猪肉价格波动率之间存在正的相依关系,猪肉价格上涨对诱发通货膨胀有很强的推动作用。This paper calls the produces with capital goods characteristic capitalized agricultural produces , and takes pork as an example to calculate the coefficient of contingency of inflation and price fluctuation of pork by using five fami-lies of copula models;based on the Akaike Information Criterion （ AIC） and Bayesian Information Criterion （ BIC,） the frank copula is found to be the most suitable to model the interdependence between inflation and price fluctuation of pork. Using the frank copula, we calculate the Kendall′τand Spearman′ρbetween inflation and price fluctuation of pork.The results indicate that there are positive correlations between them.The rise of pork price has remarkable impact on infla-tion.

关 键 词：COPULA 资产化农产品 通货膨胀 相依关系 

分 类 号：F062.9[经济管理—政治经济学]