我国棉花价格波动特征研究--基于ARCH类模型和H-P滤波法  

Characteristics of Cotton Price Fluctuation in China Based on Arch Model and H-P Filtering Method

作　　者：王力[1,2] 刘小凤 程文明 WANG Li;LIU Xiao-feng;CHENG Wen-ming(School of Economics and Management,Shihezi University,Shihezi 832000,China;Center of Cotton Economic Research,Shihezi University,Shihezi 832000,China)

机构地区：[1]石河子大学经济与管理学院,新疆石河子832000 [2]石河子大学棉花经济研究中心,新疆石河子832000

出　　处：《数学的实践与认识》2020年第11期100-108,共9页Mathematics in Practice and Theory

摘　　要：我国是全球第二大棉花生产国,分析棉花价格波动的特征对全面评估棉花价格风险及棉花产业的发展至关重要.研究选取2004年-2018年我国棉花价格月度数据,利用ARCH类模型和H-P滤波法分析了我国棉花价格的波动特征.结果表明,我国棉花价格具有显著的波动集聚性和"杠杆效应",但是并不具有"高风险、高回报"的特征;棉花价格波动具有周期性,样本区间大致可分为5个完整的周期.最后为了控制我国棉花的市场风险,提出了相关政策启示.China is the second largest cotton producer in the world.It is very important to analyze the characteristics of cotton price fluctuation in order to comprehensively evaluate the risk of cotton price and the development of cotton industry.Based on the monthly data of cotton price in China from 2004 to 2018,the fluctuation characteristics of cotton price in China were analyzed by using arch model and H-P filtering method.The results show that cotton price in China has significant volatility aggregation and"leverage effect",but it does not have the characteristics of"high risk and high return".Cotton price fluctuation is periodic,and the sample range can be roughly divided into five complete cycles.Finally,in order to control the market risk of cotton in China,the relevant policy enlightenment is put forward.

关 键 词：棉花 价格波动 ARCH类模型 H-P滤波法 

分 类 号：F323.7[经济管理—产业经济]