基于STAR模型初步分析我国大宗商品价格指数的非线性特征  

Preliminary Analysis of Non-Linear Characteristics of China’s Commodity Price Index Based on STAR Model

作　　者：唐春玉 

机构地区：[1]四川大学经济学院,四川 成都

出　　处：《金融》2023年第3期554-561,共8页Finance

摘　　要：本文通过平滑转移自回归(STAR)模型,初步分析我国大宗商品价格波动的非线性调整特征,实现从线性到非线性的逐步实证检验以建立ESTAR模型,描述了大宗商品价格机制转换的速度、滞后期和门限值等,充分反映了大宗商品动态调整过程的非线性变化特征,为有关部门稳定大宗商品价格提供相关指标的参考。In this paper, through the smoothed transfer autoregressive (STAR) model, we initially analyze the nonlinear adjustment characteristics of China’s commodity price fluctuations, realize the step-by-step empirical test from linear to nonlinear to establish the ESTAR model, describe the speed, lag period and threshold value of commodity price mechanism conversion, etc., fully reflect the nonlinear change characteristics of the dynamic adjustment process of commodities. It provides a reference of relevant indicators for the relevant departments to stabilize commodity prices.

关 键 词：ESTAR 非线性特征 大宗商品价格 

分 类 号：F72[经济管理—产业经济]