基于ARCH类模型的农产品价格波动特征研究  

Research on the Characteristics of Agricultural Product Price Fluctuation Based on ARCH Model

作　　者：王溯 胡长情 陈健(指导) WANG Su;HU Chang-qing(College of Economics and Management,Nanjing Forestry University,Nanjing 210037,China)

机构地区：[1]南京林业大学经济管理学院,南京210037 [2]不详

出　　处：《中国林业经济》2023年第2期80-84,共5页China Forestry Economics

基　　金：南京林业大学大学生创新训练计划项目(2022NFUSPITP0493)。

摘　　要：基于2011年1月至2022年8月的月度价格指数,运用自回归条件异方差ARCH类模型对猪肉、牛肉、棉花、大豆、稻谷、羊肉六种农产品进行价格波动特征分析研究。结果表明:具有较为显著的ARCH效应是牛肉、大豆、猪肉、棉花这四种农产品;其中农产品价格具有波动集聚性特征的是牛肉、大豆、猪肉、棉花;牛肉、大豆、猪肉、棉花价格不具备高风险和高报酬的特征;农产品价格均具有非对称性是棉花、大豆、猪肉。基于研究分析结果,本文提出相关政策建议,为农产品市场价格调控提供参考。Based on the monthly price index from January 2011 to August 2022,this paper used the autoregressive conditional heteroscedasticity ARCH model to analyze the price fluctuation characteristics of pork,beef,cotton,soybean,rice and mutton.The results showed that the four agricultural products with significant ARCH effects were beef,soybean,pork and cotton.Among them,the prices of agricultural products with fluctuating agglomeration characteristics are beef,soybeans,pork,cotton;The prices of beef,soybeans,pork,and cotton didn’t have the characteristics of high risk and high reward;The prices of agricultural products were asymmetric,which were cotton,soybeans,pork.Based on the research and analysis results,this paper put forward relevant policy suggestions to provide reference for the price regulation of agricultural product market.

关 键 词：农产品 价格波动特征 ARCH类模型 

分 类 号：F714[经济管理—产业经济]