本文選題：ARCH類模型 + 價格波動��； 參考：《江西財經大學》2017年碩士論文

【摘要】：20世紀以來,隨著經濟的發(fā)展和科學水平的進步,我國豬肉供給量和消費量總體均持續(xù)穩(wěn)定增長,中度規(guī)模及以上養(yǎng)殖戶占比緩慢增加、豬肉的生產周期呈下降趨勢。在總量持續(xù)上漲的同時,也呈現(xiàn)了一系列問題:生產上散養(yǎng)戶占比歷年高居不下但市場議價能力極低、抗風險性極弱;中度規(guī)�；耙陨橡B(yǎng)殖戶比重低,生產成本中勞動力要素比重增加迅速,新型疫病種類逐年增加、傳播迅速、傳染性強多呈爆發(fā)性趨勢,流通環(huán)節(jié)機制不完善、疫情防治機制不完善,散養(yǎng)戶信息交流合作機制不健全等。在這種大背景下,研究豬肉價格波動規(guī)律對政府制定宏觀政策,穩(wěn)定豬肉市場、提升生豬養(yǎng)殖者收益具有很重要的現(xiàn)實意義。文章主要運用了統(tǒng)計學、經濟學和數(shù)理統(tǒng)計學等相關知識理論,將豬肉價格序列季節(jié)因子、不規(guī)則因子、豬肉價格趨勢和循環(huán)因子以及影響豬肉價格波動等因素,運用ARCH類模型及其他數(shù)理統(tǒng)計模型進行了多方面的實證分析。論文對豬肉價格波動長期實證觀測發(fā)現(xiàn),豬肉價格序列波動具有集聚性,即大波動后往往會有小波動,小波動之后慢慢趨于更小波動直到趨于平穩(wěn),呈現(xiàn)出長記憶特性。傳統(tǒng)計量模型的條件假設“同方差”用于研究豬肉價格波動序列并不合理,因此本文多次嘗試用ARCH類模型來建模和分析豬肉價格波動收益序列的特征并試圖找出最佳模型,繼而利用相關研究結論對豬肉價格波動因素進行實證分析。而為了更好的驗證和觀測ARCH類模型展現(xiàn)出的我國豬肉價格波動的相關特征,引入季節(jié)調整和H-P濾波模型,利用了X12調整方法進行季節(jié)調整,將豬肉價格時間序列進行分解,將季節(jié)因子和不規(guī)則因子進行分離,將趨勢和循環(huán)要素視為一體,進行了短期波動的分析,利用H-P濾波模型分析我國豬肉價格波動周期,波動周期平均為34.5個月,呈下降趨勢,與孕育仔豬到生豬出欄所需要的時間基本保持一致。本文使用ARCH(P)多次嘗試,發(fā)現(xiàn)豬肉價格波動收益序列具有顯著的群聚特征,但并沒有找出擬合效果較好的模型;GARCH(p,q)模型具有ACRH(P)高階的性質,因此本文嘗試使用GARCH(p,q)進行統(tǒng)計分析,依據(jù)擬合效果、AIC和SC值,發(fā)現(xiàn)GARCH(2,2)模型的擬合效果較好;并使用GARCH(p,q)—M,發(fā)現(xiàn)豬肉價格收益率并不存在高風險伴隨高收益的特點;嘗試TGARCH(1,1)效果不佳,而使用TGARCH(2,2)擬合效果尚可,發(fā)現(xiàn)豬肉價格收益序列具有杠桿效應。綜合得出:豬肉價格波動特征:具有集聚性、杠桿效應,并不存在高風險高收益性;而模型擬合方面GARCH(2,2)、TARCH(2,2)尚可。本文基于供給、需求和外部沖擊這三個角度從理論上分析豬肉價格波動的影響因素。豬肉價格波動是多因素共同作用的結果:生產成本是推動豬肉價格波動內在動力;散養(yǎng)戶的機會成本是決定散養(yǎng)戶是否退出豬肉供給市場的重要決策因素;豬肉供給量短期內劇烈變化直接影響豬肉價格;居民可支配收入和替代品價格也是影響豬肉價格波動的重要因素,生豬疫病等突發(fā)事件、養(yǎng)殖戶對未來市場的預期也是影響豬肉價格的重要因素。結合ARCH類相關結論利用逐步回歸建模、分析發(fā)現(xiàn):豬肉的價格和自身滯后兩階顯著相關,與滯后一階顯著正相關,與滯后兩階顯著負相關;仔豬價格對豬肉價格具有直接推動作用并具有放大效果;長期回歸方程中豬肉的產量與豬肉價格顯著正相關(而用引用誤差修正模型進行短期修正):豬肉的產量與豬肉價格呈負相關;豬肉價格與農村居民可支配收入顯著相關;與替代品雞肉顯著正相關,雞肉的替代性非常強;與替代品牛肉、羊肉不相關;與疫情顯著相關;綜上所述,筆者在文章最后結合本文的研究和國家政策文件以及散養(yǎng)戶角度提出下列政策建議:規(guī)范豬肉價格波動研究,實現(xiàn)生豬市場管理現(xiàn)代化、著力提高生豬養(yǎng)殖戶生產技術、強化生豬市場儲備調節(jié)、加快建立生豬養(yǎng)殖生產合作社,建立公共信息公布交流平臺、在市場波動規(guī)律基礎上建立生豬市場波動預警機制。
[Abstract]:Since twentieth Century, with the development of economy and the progress of scientific level, the supply and consumption of pork in China have been steadily increasing, the proportion of the medium scale and above the farmers' occupation ratio is increasing slowly, and the production cycle of pork is declining. While the total amount continues to rise, there are also a series of problems. But the market price is very low, the market bargaining power is very low, the risk resistance is very weak; the proportion of the medium scale and above farmers is low, the proportion of labor factors in the production cost is increasing rapidly, the new epidemic diseases are increasing year by year, the spread is rapid, the infectious mechanism is not perfect, the mechanism of the epidemic prevention and control is imperfect, and the scattered household letter is not perfect. In this context, it is of great practical significance for the government to make macro policies, stabilize the pork market and improve the income of the pig farmers under this background. The article mainly uses the theory of statistics, economics and mathematical statistics to make the season of pork price sequence. Factors, irregular factors, pork price trend and circulation factor, and the fluctuation of pork price, the ARCH model and other mathematical statistics models are used to carry out an empirical analysis. The long-term empirical observation of pork price fluctuation shows that the volatility of pork price sequence is concentrated, that is, after large fluctuation, it often has small fluctuation. After small fluctuations, small fluctuations tend to tend to smaller fluctuations until they tend to be stable, showing a long memory characteristic. The conditional hypothesis of the traditional econometric model is not reasonable for the study of the pork price fluctuation sequence. Therefore, this paper attempts to model and analyze the characteristics of the pork price volatility income sequence with the ARCH model and try to find out many times. In order to better verify and observe the related characteristics of the fluctuation of pork price in China, the seasonal adjustment and the H-P filtering model are introduced, and the seasonal adjustment method is used to adjust the price of pork in order to better verify and observe the related characteristics of the fluctuation of pork price in China's ARCH model. In line decomposition, the seasonal factor and the irregular factor are separated, the trend and the cycle elements are considered as one. The analysis of short-term fluctuation is carried out. The fluctuation cycle of the pork price in China is analyzed by H-P filtering model. The fluctuation cycle is 34.5 months on average, which is basically consistent with the time needed to breed piglets to the pig. This paper uses ARCH (P) to find that the pork price volatility income sequence has significant clustering characteristics, but does not find a better fitting model; GARCH (P, q) model has the high order properties of ACRH (P). Therefore, this paper attempts to use GARCH (P, q) to carry out statistical analysis, according to the fitting effect, AIC and SC values, find out the model. The effect is good; and using GARCH (P, q) - M, it is found that the rate of pork price return does not have the characteristics of high risk accompanied by high income; the effect of trying TGARCH (1,1) is not good, while the use of TGARCH (2,2) fitting effect is still available, and it is found that the pork price return sequence has leverage effect. There is no high risk and high profit; model fitting is GARCH (2,2) and TARCH (2,2). This paper analyzes the influence factors of pork price fluctuation based on the three angles of supply, demand and external shock. The price fluctuation of pork is the result of the common effect of multiple factors: production cost is the internal motive force to promote the fluctuation of pork price; The opportunity cost of the farmers is an important decision factor to determine whether the farmers withdraw from the pork supply market or not; the short term violent change of the pork supply directly affects the pork price; the residents' disposable income and the replacement price are also the important factors affecting the pork price fluctuation, such as the pig epidemic disease and other sudden events, and the farmers' expectation of the future market. It is also an important factor affecting the price of pork. Using the stepwise regression modeling with the ARCH related conclusions, it is found that the price of pork is significantly related to the lagging two order, which is significantly positively correlated with the lagging first, and is negatively correlated with the lagging two order; the price of piglets has a direct driving effect on the pork price and has a magnifying effect. The output of pork in the equation was positively correlated with the pork price (and the short-term correction by the reference error correction model): the pork production was negatively correlated with the pork price; the pork price was significantly related to the disposable income of the rural residents; it was significantly positively correlated with the substitute chicken, and the replacement of chicken was very strong; it was not related to the substitute beef and mutton. In conclusion, the author put forward the following policy suggestions in the end of the article: to standardize the study of the price fluctuation of pork, to modernize the pig market management, to improve the production technology of the pig farmers, to strengthen the regulation of the pig market reserve and to speed up the establishment of the pig. Aquaculture production cooperatives, the establishment of public information disclosure and exchange platform, based on the market fluctuations, the establishment of pig market fluctuations early warning mechanism.
【學位授予單位】：江西財經大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F323.7

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