粮食价格变动与CPI关系研究——基于EEMD-JADE的分析  

Research on the Relationship between Food Price and CPI Based on EEMD-JADE

作　　者：王娅鑫 喻妍 

机构地区：[1]华中农业大学经济管理学院

出　　处：《价格理论与实践》2018年第7期39-42,共4页Price:Theory & Practice

基　　金："金融化"背景下我国农产品期货与现货市场风险评价与传导研究;(项目编号71673103)

摘　　要：本文利用集成经验模态分解和特征矩阵联合对角化(EEMD-JADE)方法将粮食价格和CPI指数分解为不同波动尺度的独立分量,并通过游程判定法重构出高中低频三个结构变量,即表示短期不规则因素和复杂波动冲击影响的短期波动,表示重大冲击以及相关政策调控影响的中期波动,以及表示序列内在运行规律的长期波动。进行格兰杰因果关系检验,从多尺度分析粮食价格与CPI之间的关联关系及波动情况。研究发现:以CPI指数为代表的通胀现象与粮价在不同的时频尺度下呈现不同的波动关系:短期二者之间不存在因果关系,中期粮价变动是CPI变动的因,长期粮价与CPI变动互为因果。This paper uses the integrated empirical mode decomposition and feature matrix joint diagonalization(EEMD-JADE) method to decompose the food price and the CPI index into independent components of different fluctuation scales. The three structural components are reconstructed by the run-length judgment method: short-term fluctuations representing short-term irregular factors and complex fluctuation shocks,medium-term fluctuations indicating significant impacts and related policy adjustments, and long-term fluctuations indicating the inherent laws of the sequence. Afterwards, the corresponding Granger causality test is carried out to analyze the relationship and fluctuation between food price and CPI from a multi-scale perspective.The study found that the inflation phenomenon represented by CPI index and food price have different fluctuations at different time-frequency scales: there is no causal relationship in the short term, and the medium-term food price change is the cause of the change in the CPI, long-term food price and CPI is a causal relationship.

关 键 词：粮食市场化改革 粮食价格 粮食产量 价格波动 CPI 

分 类 号：F323.7[经济管理—产业经济] F726