| 基于ARCH类模型的国际粮价波动规律研究 |
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| 引用本文： | 公茂刚,王学真,高峰. 基于ARCH类模型的国际粮价波动规律研究[J]. 山东大学学报(哲学社会科学版), 2012, 0(2): 11-17 |
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| 作者姓名： | 公茂刚 王学真 高峰 |
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| 作者单位： | 山东理工大学商学院 |
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| 基金项目： | 国家社科基金青年项目“发展中国家粮食安全问题研究”(10CGJ019);山东省软科学项目“山东农民收入结构与性质对其消费结构升级的影响分析”(2011RKGA3045);山东理工大学博士科研启动基金项目“国际粮价波动实证分析” |
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| 摘 要： | 粮价的波动最终会给一国的粮食安全带来巨大风险。了解国际粮价的波动特征有助于采取相应的措施稳定粮价,避免粮价波动的国际传导对国内粮食市场进而对粮食安全产生不利影响。通过建立ARCH类模型,分析各类粮食国际价格的波动规律。得出的主要结论有:国际粮价波动存在明显的集族性;外部冲击对国际粮价波动具有持久性影响;国际粮食市场不存在高风险高粮价的特征;国际粮价波动具有显著的非对称性,而且粮价上涨的信息引发的粮价波动要大于粮价下降的信息引发的波动。
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| 关 键 词： | 国际粮价 波动规律 ARCH模型 |
An Analysis on the Fluctuations of International Food Prices:ARCH Approach |
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| GONG Mao-gang,WANG Xue-zhen,GAO Feng. An Analysis on the Fluctuations of International Food Prices:ARCH Approach[J]. Journal of Shandong University(Philosophy and Social Sciences), 2012, 0(2): 11-17 |
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| Authors: | GONG Mao-gang WANG Xue-zhen GAO Feng |
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| Affiliation: | (College of Business,Shandong University of Technology,Zibo 255049,P.R.China) |
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| Abstract: | The paper applies ARCH models to analyzing the fluctuations of international food prices.Our empirical findings point to four conclusions.First,fluctuations of international food prices are characterized by clustering.Second,the external shocks have a lasting impact on food price fluctuations.Third,in the international food market,high risk will not necessarily lead to high food prices.Fourth,fluctuations of international food prices are asymmetric and fluctuations caused by information associated with rising prices are greater than those caused by information associated with falling prices. |
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| Keywords: | international food prices fluctuation ARCH Models |
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