本文關(guān)鍵詞： 農(nóng)副產(chǎn)品價(jià)格波動(dòng) Component GARCH 模型 長(zhǎng)期趨勢(shì)波動(dòng) 杠桿效應(yīng)　出處：《西南財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：近年來,我國(guó)主要農(nóng)副產(chǎn)品價(jià)格普遍快速上漲,成為居民消費(fèi)價(jià)格指數(shù)增長(zhǎng)的重要原因。但需要格外重視的是,農(nóng)副產(chǎn)品價(jià)格上漲的同時(shí),價(jià)格的波動(dòng)性也在增加。對(duì)于預(yù)期到的價(jià)格增長(zhǎng),各經(jīng)濟(jì)主體可以做出適當(dāng)反應(yīng),但價(jià)格波動(dòng)卻會(huì)增大各經(jīng)濟(jì)主體的決策風(fēng)險(xiǎn)。農(nóng)副產(chǎn)品價(jià)格的高波動(dòng)性對(duì)農(nóng)業(yè)從業(yè)者、工業(yè)生產(chǎn)和居民生活都帶來巨大負(fù)沖擊。是什么原因造成我國(guó)農(nóng)副產(chǎn)品價(jià)格持續(xù)、高位波動(dòng)?這些波動(dòng)更多地是受到短期季節(jié)性因素的影響,還是更多地受制于我國(guó)宏觀經(jīng)濟(jì)環(huán)境的變化?在農(nóng)副產(chǎn)品價(jià)格波動(dòng)加劇的背景下,對(duì)這些問題的回答具有重大的現(xiàn)實(shí)意義。同時(shí),研究農(nóng)副產(chǎn)品價(jià)格波動(dòng)也可以對(duì)農(nóng)副產(chǎn)品價(jià)格與通脹關(guān)系從一種新角度做出解釋。 國(guó)內(nèi)現(xiàn)有對(duì)農(nóng)副產(chǎn)品價(jià)格的研究多集中在對(duì)農(nóng)副產(chǎn)品價(jià)格上漲因素的探討,對(duì)農(nóng)副產(chǎn)品價(jià)格波動(dòng)的研究較少。ARCH模型的提出與發(fā)展為研究農(nóng)副產(chǎn)品價(jià)格波動(dòng)提供了強(qiáng)有力的工具。本文利用ARCH模型族中的Component GARCH模型對(duì)農(nóng)副產(chǎn)品價(jià)格波動(dòng)進(jìn)行研究,并運(yùn)用SVAR模型考察宏觀經(jīng)濟(jì)變量與農(nóng)副產(chǎn)品價(jià)格波動(dòng)之間的動(dòng)態(tài)關(guān)系。 對(duì)我國(guó)農(nóng)副產(chǎn)品價(jià)格波動(dòng)進(jìn)行研究,首先遇到的問題是數(shù)據(jù)的充足性。我國(guó)建國(guó)之初的較長(zhǎng)一段時(shí)間實(shí)行的是統(tǒng)購(gòu)統(tǒng)銷的糧食價(jià)格政策。價(jià)格被人為扭曲,因而,研究農(nóng)副產(chǎn)品價(jià)格波動(dòng)與宏觀經(jīng)濟(jì)之間關(guān)系的意義不大。結(jié)合糧食價(jià)格政策、數(shù)據(jù)的充足性和可獲得性,本文研究的樣本期為2000年到2013年的農(nóng)產(chǎn)品價(jià)格的月度數(shù)據(jù)。本文數(shù)據(jù)主要來自《中國(guó)農(nóng)產(chǎn)品價(jià)格調(diào)查年鑒》和中經(jīng)網(wǎng)統(tǒng)計(jì)數(shù)據(jù)庫,考慮到數(shù)據(jù)統(tǒng)計(jì)口徑的一致性,本文選取了豬肉、牛肉和花生油作為主要研究對(duì)象。 對(duì)數(shù)據(jù)的分析,我們發(fā)現(xiàn)牛肉變動(dòng)率的均值較大,標(biāo)準(zhǔn)差最�。回i肉價(jià)格變動(dòng)率的標(biāo)注差最大,均值也較大。農(nóng)副產(chǎn)品價(jià)格變化率數(shù)據(jù)是平穩(wěn)的時(shí)間序列數(shù)據(jù),異方差效應(yīng)明顯,可以運(yùn)用Component GARCH模型進(jìn)行建模。對(duì)平穩(wěn)的農(nóng)副產(chǎn)品價(jià)格變化率數(shù)據(jù)建模發(fā)現(xiàn),農(nóng)副產(chǎn)品價(jià)格變化率之間的相關(guān)關(guān)系存在著相似之處�？傮w而言,農(nóng)副產(chǎn)品價(jià)格變動(dòng)具有持續(xù)性,同時(shí)也會(huì)在較長(zhǎng)時(shí)期內(nèi)得到糾正。 為了考察非對(duì)稱項(xiàng)是否在分離長(zhǎng)期趨勢(shì)波動(dòng)時(shí)發(fā)揮作用,本文先運(yùn)用非對(duì)稱Component GARCH來考察農(nóng)副產(chǎn)品價(jià)格波動(dòng)的杠桿效應(yīng)。三種農(nóng)副產(chǎn)品價(jià)格變動(dòng)的非對(duì)稱Component GARCH模型的d系數(shù)都很顯著。由于需求相對(duì)穩(wěn)定,本文從供給方面對(duì)這一現(xiàn)象作出了解釋。本文認(rèn)為,農(nóng)副產(chǎn)品供給對(duì)負(fù)因素沖擊更為敏感,這也表明,農(nóng)副產(chǎn)品生產(chǎn)者的風(fēng)險(xiǎn)承受能力較小。 本文選取了包括通貨膨脹率(CPI)、貨幣供給量、實(shí)際有效匯率三個(gè)宏觀經(jīng)濟(jì)變量,建立了SVAR模型,描述農(nóng)副產(chǎn)品價(jià)格長(zhǎng)期趨勢(shì)波動(dòng)與以上宏觀經(jīng)濟(jì)變量之間的動(dòng)態(tài)關(guān)系。對(duì)SVAR模型回歸結(jié)果的分析發(fā)現(xiàn),豬肉價(jià)格長(zhǎng)期趨勢(shì)波動(dòng)對(duì)通貨膨脹表現(xiàn)出正向的反映。通貨膨脹可以通過生產(chǎn)者預(yù)期和農(nóng)戶儲(chǔ)糧行為對(duì)農(nóng)副產(chǎn)品價(jià)格長(zhǎng)期趨勢(shì)波動(dòng)產(chǎn)生正影響。同時(shí),豬肉價(jià)格長(zhǎng)期趨勢(shì)波動(dòng)對(duì)貨幣供給和實(shí)際有效匯率表現(xiàn)出負(fù)向的反映。貨幣供給量和實(shí)際有效匯率的提高,都會(huì)降低生產(chǎn)成本,提高市場(chǎng)供給,從而降低農(nóng)副產(chǎn)品價(jià)格的長(zhǎng)期趨勢(shì)波動(dòng)。 當(dāng)然本文也存在很多局限性,受制于現(xiàn)有的估計(jì)技術(shù),本文在模型選擇上更具主觀性。同時(shí),由于數(shù)據(jù)的限制,本文選擇的農(nóng)副產(chǎn)品種類較少,偏而不能概全,因而本文研究成果難以對(duì)我國(guó)農(nóng)副產(chǎn)品價(jià)格的長(zhǎng)期波動(dòng)進(jìn)行全貌描述。 本文的組織結(jié)構(gòu)如下： 首先在第一部分交代本文的寫作背景,說明研究我國(guó)農(nóng)副產(chǎn)品波動(dòng)的重要性。第二部分首先對(duì)我國(guó)糧食價(jià)格政策進(jìn)行了回顧,為選擇數(shù)據(jù)提供政策支撐。接著對(duì)我國(guó)農(nóng)產(chǎn)品價(jià)格波動(dòng)周期進(jìn)行了介紹,著重說明了宏觀經(jīng)濟(jì)基本面對(duì)農(nóng)產(chǎn)品價(jià)格波動(dòng)帶來的影響。第三部分是本文的文獻(xiàn)綜述部分。介紹了國(guó)內(nèi)外對(duì)農(nóng)副產(chǎn)品價(jià)格波動(dòng)研究的成果,并指出了存在的不足,為本文研究提供方向。第四部分對(duì)農(nóng)副產(chǎn)品價(jià)格穩(wěn)定與價(jià)格波動(dòng)的福利差異進(jìn)行了分析,意在說明價(jià)格穩(wěn)定促進(jìn)了社會(huì)福利的增加。這一部分主要是為本文提出的政策建議做好理論支撐。第五部分是農(nóng)副產(chǎn)品價(jià)格波動(dòng)杠桿效應(yīng)的檢驗(yàn)和農(nóng)副產(chǎn)品價(jià)格長(zhǎng)期趨勢(shì)波動(dòng)成分的分離。主要使用實(shí)證分析法,借助非對(duì)稱Component GARCH模型對(duì)農(nóng)副產(chǎn)品價(jià)格波動(dòng)進(jìn)行分析。第六部分是農(nóng)副產(chǎn)品價(jià)格長(zhǎng)期驅(qū)動(dòng)因素分析。在這一部分,主要選擇了通貨膨脹率(cPI)、貨幣供給量、實(shí)際有效匯率三個(gè)宏觀經(jīng)濟(jì)變量,運(yùn)用SVAR模型,描述農(nóng)副產(chǎn)品價(jià)格長(zhǎng)期趨勢(shì)波動(dòng)與以上宏觀經(jīng)濟(jì)變量之間的動(dòng)態(tài)關(guān)系。第七部分總結(jié)了研究成果,并指出存在的不足,為下一步的研究指明了方向。 本文的主要?jiǎng)?chuàng)新點(diǎn)在于,本文在國(guó)內(nèi)首次利用Component GARCH模型對(duì)禽肉類農(nóng)副產(chǎn)品價(jià)格是否存在杠桿效應(yīng)進(jìn)行了檢驗(yàn),并對(duì)檢驗(yàn)的結(jié)果進(jìn)行了分析。 同時(shí),由于不同農(nóng)副產(chǎn)品受到生產(chǎn)周期、需求因素等方面因素的影響,價(jià)格長(zhǎng)期波動(dòng)機(jī)制并不相同。本文對(duì)禽肉類長(zhǎng)期波動(dòng)機(jī)制做出了分析,豐富了農(nóng)產(chǎn)品價(jià)格長(zhǎng)期波動(dòng)機(jī)制的研究。
[Abstract]:In recent years, China's major agricultural and sideline products prices generally rose rapidly, become an important reason for the consumer price index growth. But need to pay special attention to the rising prices of agricultural and sideline products, at the same time, the price volatility is increasing. The expected price growth, the economic subject can respond appropriately, but the price fluctuation is will increase the economic subject's decision-making risk. The price of agricultural and sideline products of high volatility of agricultural workers, industrial production and the lives of the residents have a huge negative impact. What is the cause of China's agricultural products prices, high volatility? These fluctuations are more affected by seasonal factors, or more subject to China's macroeconomic environment changes? In agricultural and sideline products price volatility intensified in the background, is of great practical significance to answer these questions. At the same time, research on the agricultural products price The fluctuation of the grid can also explain the relationship between price and inflation of agricultural and sideline products from a new perspective.
Study on the existing domestic prices of agricultural and sideline products focused on the factors of rising prices of agricultural and sideline products, and provides a powerful tool for the development of agricultural and sideline products less price volatility on.ARCH model of agricultural and sideline products price fluctuation. This paper focuses on the research of agricultural product price fluctuation by using Component GARCH ARCH model family. The dynamic relationship between investigation and the use of SVAR model of macro economic variables and the price fluctuation of agricultural and sideline products.
Study on China's agricultural product price fluctuation, the first problem is the adequacy of the data. The longer the founding of our country at the beginning of a period of time is the implementation of the purchase and sale of grain price policy. The price was artificially distorted, therefore, research on the relationship between agricultural and sideline products price fluctuation and macro economy combined with food prices has little significance. Policy, data adequacy and availability, the sample period for the monthly data from 2000 to 2013 the price of agricultural products. In this paper, data from the statistical database by < Chinese agricultural product price survey Yearbook > and, considering the consistency of statistical data, this paper selects the pork, beef and peanut oil as the main research object.
The analysis of the data, we found that the rate of change of beef mean larger, the minimum standard deviation; pork price change rate of marked difference between maximum, mean is larger. The rate of change of prices of agricultural and sideline products data is steady time series data, variance effect is obvious, can use the Component GARCH model. The stable price of agricultural and sideline products the rate of data modeling, the relationship between agricultural and sideline products price change rate are similar. Overall, agricultural and sideline products prices have continued, will also be corrected in a longer period of time.
In order to investigate whether asymmetric terms play an important role in the separation of long-term trend of fluctuation, this paper uses the leverage effect of asymmetric Component GARCH to investigate the agricultural products price fluctuation. The D coefficients of three kinds of agricultural and sideline products price asymmetric Component GARCH models are very significant. Because the demand is relatively stable, this paper made an explanation for this phenomenon from the supply aspect. This paper argues that the supply of agricultural products to the negative impact factor is more sensitive, it also shows that the risk tolerance of the small producers of agricultural and sideline products.
This paper includes the inflation rate (CPI), the money supply, the real effective exchange rate of the three macroeconomic variables, SVAR model is established to describe the dynamic relationship between the prices of agricultural and sideline products more than the long-term trend volatility and macroeconomic variables. To analysis the results of SVAR regression model, the pork price volatility to inflation showed long-term trend positive reflection. Through inflation expectations and behavior of farmer grain producers of agricultural and sideline products price fluctuation long-term trend has a positive influence. At the same time, the pork price fluctuations on the long-term trend of the money supply and the real effective exchange rate showed negative reaction. The money supply and the real effective exchange rate increases, will reduce production costs, improve market supply in order to reduce the long-term trend, fluctuations in prices of agricultural and sideline products.
Of course, we also have many limitations, subject to the existing estimation techniques, based on the model selection is more subjective. At the same time, because of the limitation of the data, the selection of agricultural and sideline products less species, but not all partial, so this research is difficult for China's long-term fluctuations in prices of agricultural and sideline products picture description.
The organizational structure of this article is as follows:
In the first part of the introduction of the background and importance of research of China's agricultural products fluctuation. The second part reviews the grain price policy of our country, provide policy support for the selection of data. Then the paper introduces fluctuations in the price of agricultural products in China, focuses on the macroeconomic impact of the face of basic agricultural products the price fluctuation. The third part is the literature review. The achievements of the research on the price fluctuation of agricultural products at home and abroad, and pointed out the shortcomings and provide direction for the research in this paper. The fourth part differences in the welfare of agricultural and sideline products price stability and price volatility is analyzed, is intended to explain the price stability and promote the increase of social welfare. This part is mainly to the proposed policy recommendations to make theoretical support. The fifth part is the agricultural product price volatility leverage effect Separation and inspection of agricultural and sideline products price fluctuation. The long-term trend components mainly use empirical analysis method, by using the asymmetric Component GARCH model to analyze the price fluctuation of agricultural products. The sixth part is the analysis of the driving factors of the long-term price of agricultural and sideline products. In this part, the main choice of the inflation rate (cPI), the actual money supply. The effective exchange rate of the three macroeconomic variables, using the SVAR model to describe the dynamic relationship between the prices of agricultural and sideline products more than the long-term trend volatility and macroeconomic variables. The seventh part summarizes the research results, and points out the problems, pointed out the direction for further research.
The main innovation of this paper is that in the first time, the Component GARCH model was used to test the leverage effect of poultry meat and agricultural products in China, and the results of the test were analyzed.
At the same time, because the different agricultural and sideline products are affected by factors such as production cycle and demand factors, the long-term fluctuation mechanism of price is not the same. In this paper, the long-term fluctuation mechanism of poultry is analyzed, which enriches the research on the long-term fluctuation mechanism of agricultural products price.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F323.7;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 徐雪高;;新一輪農(nóng)產(chǎn)品價(jià)格波動(dòng)周期:特征、機(jī)理及影響[J];財(cái)經(jīng)研究;2008年08期

2 程國(guó)強(qiáng);徐雪高;;改革開放以來我國(guó)農(nóng)產(chǎn)品價(jià)格波動(dòng)的回顧[J];重慶工學(xué)院學(xué)報(bào)(社會(huì)科學(xué)版);2009年04期

3 趙留彥;;通貨膨脹預(yù)期與糧食價(jià)格動(dòng)態(tài)[J];經(jīng)濟(jì)科學(xué);2007年06期

4 朱信凱;呂捷;;中國(guó)糧食價(jià)格與CPI的關(guān)系(1996—2008)——基于非線性關(guān)聯(lián)積分的因果檢驗(yàn)[J];經(jīng)濟(jì)理論與經(jīng)濟(jì)管理;2011年03期

5 蘇劍;;中國(guó)目前的通貨膨脹:特點(diǎn)、成因及對(duì)策[J];經(jīng)濟(jì)學(xué)動(dòng)態(tài);2011年01期

6 中國(guó)人民銀行課題組;;我國(guó)農(nóng)產(chǎn)品價(jià)格上漲機(jī)制研究[J];經(jīng)濟(jì)學(xué)動(dòng)態(tài);2011年03期

7 盧鋒;彭凱翔;;中國(guó)糧價(jià)與通貨膨脹關(guān)系(1987—1999)[J];經(jīng)濟(jì)學(xué)(季刊);2002年03期

8 劉偉;蘇劍;;供給管理與我國(guó)現(xiàn)階段的宏觀調(diào)控[J];經(jīng)濟(jì)研究;2007年02期

9 蘇h椒，

本文編號(hào)：1461876