基于VAR模型的蚕茧丝价格关联分析  

Correlation Analysis of Silk Price and Cocoon Price Based on VAR Model

作　　者：刘静[1] 周玉玺[1] 崔太昌[2] 

机构地区：[1]山东农业大学经济管理学院,山东泰安271018 [2]山东省农业科学院科技信息研究所,山东济南250100

出　　处：《山东农业科学》2016年第10期167-172,共6页Shandong Agricultural Sciences

基　　金：山东省现代农业产业技术体系蚕桑创新团队产业经济岗位建设项目(SDAIT-16-011-07);山东省"三农"问题软科学研究基地项目

摘　　要：根据1979-2013年的统计数据,运用协整检验、VAR模型、脉冲响应函数和方差分解法,揭示了我国蚕丝价格与蚕茧价格间的相互影响关系。结果表明:蚕丝价格和蚕茧价格间存在长期稳定的均衡关系;蚕丝价格与蚕茧价格具有双向的Granger因果关系;VAR(3)模型及脉冲响应分析表明,蚕丝价格与蚕茧价格对来自彼此的冲击响应是非渐进式的;方差分解分析显示:蚕茧价格受自身波动的影响较大,蚕丝价格对蚕茧价格的预测方差贡献度较小;蚕丝价格受其自身影响较大,蚕茧价格对蚕丝价格的预测方差贡献度最终会收敛于24.5%左右。Based on the data during 1979- 2013,the mutual influences between cocoon price and silk price were analyzed using co- integration test,VAR model,impulse response function and variance decomposition method. The results showed that there were a long- term stable equilibrium relationship and a bidirectional Granger causal relationship between cocoon price and silk price. The VAR（ 3） model and impulse response analysis showed that the impact responses of cocoon price and silk price to each other were non progressive. The results of variance decomposition showed that the cocoon price was greatly affected by its own volatility,and the forecast variance contribution of silk price to cocoon price was small; the silk price was also influenced by its own influence greatly,and the forecast variance contribution degree of cocoon price to silk price would eventually converge to about 24. 5%.

关 键 词：蚕茧价格 蚕丝价格 VAR模型 脉冲响应 方差分解 

分 类 号：F307.3[经济管理—产业经济]