结构突变视角下农产品价格波动的影响因素分析  

Analysis of the influencing factors of price volatility of agricultural products from the perspective of structural shocks

作　　者：付莲莲[1,2] 黄斌[3] 方桂英[1] 朱丽[1] 曾春华[1] 

机构地区：[1]江西农业大学理学院,江西南昌330045 [2]江西农业大学江西现代农业发展协同创新中心,江西南昌330045 [3]江西农业大学食品科学与工程学院,江西南昌330045

出　　处：《农业现代化研究》2015年第6期981-987,共7页Research of Agricultural Modernization

基　　金：国家自然科学基金项目(71561014;71461019);江西现代农业及其优势产业可持续发展的决策支持协同创新中心课题(XDNYA1502);国家社会科学基金重大项目(13&ZD160)

摘　　要：从结构突变的视角考察2000年1月至2013年6月我国农产品价格频繁波动的原因。首先构建农产品价格波动的固定参数模型,发现其参数不稳定、具有时变性,然后建立状态空间模型并运用卡尔曼滤波算法估计。实证结果表明:农业生产成本和汇率是影响农产品价格波动的两个主要因素,弹性系数平均值分别为0.284和0.217。货币供应量的影响相对较小,弹性系数平均值为0.045;国际农产品价格和货币供应量对价格的影响相对稳定,而汇率和农业生产成本的系数波动很大,分别在-0.268-0.684和0.004-0.592之间变动。From the perspective of structural shocks, this paper tries to identify the influencing factors for the price fluctuations of domestic agricultural products from January 2000 to June 2013. Firstly, the fixed parameter model of agricultural product price fluctuations is constructed and specification tests showed that the parameter is unstable with time variability. Then a time-varying parameter model is established and estimated by Kalman Filtering algorithm. Empirical results show that the agricuhfiral production cost and exchange rate are main factors influencing the price fluctuation of agricultural products, with average coefficient of elasticity of 0.284 and 0.217 respectively. The influence of money supply is relatively small, with average elasticity coefficient of 0.045. The effect of prices of foreign agricultural products and money supply is relatively stable, while the impact of exchange rate and agricultural production cost are volatile, with elastic coefficient varying respectively from -0.268 to 0.684 and from 0.004 to 0.592.

关 键 词：农产品 价格波动 影响因素 结构变点 状态空间模型 

分 类 号：F304[经济管理—产业经济]