基于ARCH效应的粮食价格特殊规律性模型研究  

Research on special regularity model of grain price based on ARCH effect

作　　者：朱艳娜[1] 张贵生[2] 衡连伟 ZHU Yan-na;ZHANG Gui-sheng;HENG Lian-wei(School of Economics and Management,Anhui University of Science and Technology,Huainan 232001,Anhui,China;State Key Laboratory of Mining-induced Response and Disaster Prevention and Control in Deep Coal Mines,Anhui University of Science and Technology,Huainan 232001,Anhui,China;School of Electrical and Information Engineering 9 Anhui University of Science and Technology,Huainan 232001,Anhui,China)

机构地区：[1]安徽理工大学经济与管理学院,安徽淮南232001 [2]安徽理工大学省部共建深部煤矿采动响应与灾害防控国家重点实验室,安徽淮南232001 [3]安徽理工大学电气与信息工程学院,妥徽淮南232001

出　　处：《粮食与油脂》2022年第10期159-162,共4页Cereals & Oils

基　　金：国家自然科学基金(51574010、51874003、61873004);习近平新时代中国特色社会主义思想研究中心项目(sxzx2021-09)。

摘　　要：通过“蛛网”模型,剖析我国2007~2018年小麦和水稻的价格波动率,然后通过Eviews软件进行自回归条件异方差(ARCH)类模型效应检验,识别小麦和水稻的价格规律。结果表明:我国粮食价格体系内的2个构建单元皆具有正态分布特性,且正态分布曲线呈现尖峰厚尾的变化规律,表明了粮食价格具有集族性、非对称性、品种差异性和持续性特征的波动规律,不存在高风险高粮价的特征。The price volatility of wheat and rice in China from 2007 to 2018 was analyzed by “cobweb” model. Then the effect of ARCH model was tested by Eviews software to identify the price law of wheat and rice. The results showed that the two construction units in China’s grain price system had normal distribution characteristics, and the normal distribution curve showed the variation law of peak and heavy tail, which showed that the grain price had the fluctuation law of clustering, asymmetry, variety difference and persistence, and there was no high-risk and high-price characteristic.

关 键 词：蛛网模型 ARCH模型 价格变动率 价格规律 

分 类 号：F323.7[经济管理—产业经济]