中国农副产品价格波动研究

发布时间：2018-01-25 03:37

本文关键词： 农副产品价格波动 Component GARCH 模型长期趋势波动杠杆效应　出处：《西南财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：近年来,我国主要农副产品价格普遍快速上涨,成为居民消费价格指数增长的重要原因。但需要格外重视的是,农副产品价格上涨的同时,价格的波动性也在增加。对于预期到的价格增长,各经济主体可以做出适当反应,但价格波动却会增大各经济主体的决策风险。农副产品价格的高波动性对农业从业者、工业生产和居民生活都带来巨大负冲击。是什么原因造成我国农副产品价格持续、高位波动?这些波动更多地是受到短期季节性因素的影响,还是更多地受制于我国宏观经济环境的变化?在农副产品价格波动加剧的背景下,对这些问题的回答具有重大的现实意义。同时,研究农副产品价格波动也可以对农副产品价格与通胀关系从一种新角度做出解释。国内现有对农副产品价格的研究多集中在对农副产品价格上涨因素的探讨,对农副产品价格波动的研究较少。ARCH模型的提出与发展为研究农副产品价格波动提供了强有力的工具。本文利用ARCH模型族中的Component GARCH模型对农副产品价格波动进行研究,并运用SVAR模型考察宏观经济变量与农副产品价格波动之间的动态关系。对我国农副产品价格波动进行研究,首先遇到的问题是数据的充足性。我国建国之初的较长一段时间实行的是统购统销的粮食价格政策。价格被人为扭曲,因而,研究农副产品价格波动与宏观经济之间关系的意义不大。结合粮食价格政策、数据的充足性和可获得性,本文研究的样本期为2000年到2013年的农产品价格的月度数据。本文数据主要来自《中国农产品价格调查年鉴》和中经网统计数据库,考虑到数据统计口径的一致性,本文选取了猪肉、牛肉和花生油作为主要研究对象。对数据的分析,我们发现牛肉变动率的均值较大,标准差最小；猪肉价格变动率的标注差最大,均值也较大。农副产品价格变化率数据是平稳的时间序列数据,异方差效应明显,可以运用Component GARCH模型进行建模。对平稳的农副产品价格变化率数据建模发现,农副产品价格变化率之间的相关关系存在着相似之处。总体而言,农副产品价格变动具有持续性,同时也会在较长时期内得到纠正。为了考察非对称项是否在分离长期趋势波动时发挥作用,本文先运用非对称Component GARCH来考察农副产品价格波动的杠杆效应。三种农副产品价格变动的非对称Component GARCH模型的d系数都很显著。由于需求相对稳定,本文从供给方面对这一现象作出了解释。本文认为,农副产品供给对负因素冲击更为敏感,这也表明,农副产品生产者的风险承受能力较小。本文选取了包括通货膨胀率(CPI)、货币供给量、实际有效汇率三个宏观经济变量,建立了SVAR模型,描述农副产品价格长期趋势波动与以上宏观经济变量之间的动态关系。对SVAR模型回归结果的分析发现,猪肉价格长期趋势波动对通货膨胀表现出正向的反映。通货膨胀可以通过生产者预期和农户储粮行为对农副产品价格长期趋势波动产生正影响。同时,猪肉价格长期趋势波动对货币供给和实际有效汇率表现出负向的反映。货币供给量和实际有效汇率的提高,都会降低生产成本,提高市场供给,从而降低农副产品价格的长期趋势波动。当然本文也存在很多局限性,受制于现有的估计技术,本文在模型选择上更具主观性。同时,由于数据的限制,本文选择的农副产品种类较少,偏而不能概全,因而本文研究成果难以对我国农副产品价格的长期波动进行全貌描述。本文的组织结构如下：首先在第一部分交代本文的写作背景,说明研究我国农副产品波动的重要性。第二部分首先对我国粮食价格政策进行了回顾,为选择数据提供政策支撑。接着对我国农产品价格波动周期进行了介绍,着重说明了宏观经济基本面对农产品价格波动带来的影响。第三部分是本文的文献综述部分。介绍了国内外对农副产品价格波动研究的成果,并指出了存在的不足,为本文研究提供方向。第四部分对农副产品价格稳定与价格波动的福利差异进行了分析,意在说明价格稳定促进了社会福利的增加。这一部分主要是为本文提出的政策建议做好理论支撑。第五部分是农副产品价格波动杠杆效应的检验和农副产品价格长期趋势波动成分的分离。主要使用实证分析法,借助非对称Component GARCH模型对农副产品价格波动进行分析。第六部分是农副产品价格长期驱动因素分析。在这一部分,主要选择了通货膨胀率(cPI)、货币供给量、实际有效汇率三个宏观经济变量,运用SVAR模型,描述农副产品价格长期趋势波动与以上宏观经济变量之间的动态关系。第七部分总结了研究成果,并指出存在的不足,为下一步的研究指明了方向。本文的主要创新点在于,本文在国内首次利用Component GARCH模型对禽肉类农副产品价格是否存在杠杆效应进行了检验,并对检验的结果进行了分析。同时,由于不同农副产品受到生产周期、需求因素等方面因素的影响,价格长期波动机制并不相同。本文对禽肉类长期波动机制做出了分析,丰富了农产品价格长期波动机制的研究。
[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.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F323.7;F224

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