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基于2004年3月~2016年6月粮食收购价格指数的月度数据,建立ARCH-M、EGARCH和CGARCH模型对中国粮食收购价格总指数基本波动特征、总体波动率、长期波动率和短期波动率的规律性进行描述性统计分析和计量分析。结果表明:中国粮食价格波动呈现出明显的集簇特征;粮食市场并没有呈现出高风险高收益的特点;粮食价格指数的波动具有显著的非对称性;粮食价格波动逐步收敛于稳定状态,最低收购价政策起到了稳定价格作用。
Based on the monthly data of the grain purchasing price index from March 2004 to June 2016, this paper establishes the ARCH-M, EGARCH and CGARCH models to analyze the basic volatility, overall volatility, long-term volatility and short-term volatility of China’s grain purchasing price index Regular descriptive statistical analysis and measurement analysis. The results show that: the fluctuation of grain prices in China shows obvious clustering characteristics; the grain market does not show the characteristics of high risk and high yield; the volatility of food price index has significant asymmetry; the fluctuation of food prices gradually converges to a steady state with the lowest The purchase price policy has played a stabilizing role.