季节调整后的蔬菜价格波动——兼论货币供应量的影响

利用X-12-ARIMA季节调整模型及ARCH类模型分析大宗蔬菜白菜、黄瓜、西红柿、菜椒和四季豆价格的季节性波动特点和短期变动特征,并探寻货币供应量对蔬菜价格长期趋势的影响。结果表明:蔬菜价格季节性波动特征明显,但波幅有缩小的趋势;蔬菜价格的趋势变动与货币供应量紧密联系,当流通中的货币量增加1万亿元时,白菜、黄瓜、西红柿、菜椒和四季豆每公斤分别上涨0.43元、0.76元、0.83元、1元和1.2元左右;白菜、黄瓜、菜椒和四季豆的价格具有明显的波动集簇性,白菜和黄瓜价格的外部冲击的影响会持续到下一期,菜椒和四季豆价格过去外部冲击和波动影响会比较持久;四种蔬菜均没有显现出显著的风险报酬特征,上期正负外部冲击对本期菜椒价格波动的影响具有非对称性,而对白菜、黄瓜和四季豆的影响是对称的。

Study of Seasonal Adjusted Vegetable Price Fluctuation and the Impact of Currency in Circulation

This paper analyzes cabbage,cucumber,tomato,green pepper and string bean’s seasonal volatility feature and vegetable price short-term fluctuation’s feature based on X-12-ARIMA seasonal adjustment model and ARCH models.The conclusions are as follows: firstly,vegetable prices’ seasonal fluctuation is obvious and their ranges tend to minify.Secondly,currency in circulation has impact on vegetable price trend and when currency in circulation increases by one thousand billion yuan,cabbage,cucumber,tomato,green pepper and string bean’s price will increase by about 0.43 yuan,0.76 yuan,0.83 yuan,1 yuan and 1.2 yuan respectively.Thirdly,cabbage,cucumber,green pepper and string bean’s price fluctuation show the feature of volatility clustering.Cabbage and cucumber prices’ external shock impact will last to next period while green pepper and string bean prices’ external shock are lasting.Lastly,the four kinds of vegetable prices’ risk premium were not so evident.Positive and negative external shock in last period has asymmetry impact on current period’s green pepper price whereas it has symmetric impact on current period’s cabbage,cucumber and string bean’s price.