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本文利用HP滤波法和GARCH、GARCH-M、TARCH和EGARCH等ARCH类模型对1970年以来美国苜蓿月度价格的波动性进行分析。研究表明,美国苜蓿的实际价格呈现不断下降的趋势;苜蓿价格波动大致可划分为10轮完整的周期,最长周期为64个月,最短周期为23个月,平均周期长46.9个月;苜蓿价格具有显著的异方差效应,其波动具有显著的集簇性;苜蓿市场不具高风险高回报的特征;苜蓿市场中价格上涨信息引发的波动比价格下跌信息所引发的波动要更大,苜蓿价格波动具有显著的非对称性。
Abstract：This paper analyzes the price fluctuation of alfalfa in U.S.with Hodrick-Prescott filter and ARCH-type model.The monthly data is from 1970 to 2012.The result shows that the real price of alfalfa presents the declining trend.And it can be divided into 10 full cycles,the average cycle time is 46.9 months,and the longest cycle is 64 months,the shortest is 23 months.The alfalfa price has the significant conditional heteroskedastjcity,and its fluctuation takes on the significant volatility clustering.The alfalfa market does not have the characteristics of high-risk and high-reward.The price change of alfalfa market caused by the information of price up fluctuates more sharply than the change caused by the price down,which means alfalfa price fluctuations have significant asymmetry.
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①方法参见高铁梅《计量经济分析方法与建模》。
基本信息:
DOI：10.13856/j.cn11-1097/s.2013.09.002
中图分类号:F371.2;F313.7;F224
引用信息:
[1]石自忠,王明利.基于HP滤波和ARCH类模型的美国苜蓿价格波动研究[J].世界农业,2013,No.413(09):111-117+188.DOI:10.13856/j.cn11-1097/s.2013.09.002.
基金信息:
现代农业产业技术体系建设专项资金资助(编号:CARS-35-22)
2013-09-10
2013-09-10