【摘要】 采用B-P滤波对1999-2012年我国农产品价格指数进行处理,观测到我国农产品价格呈现出4个波动性周期,并且表现出明显的不可重复性和非对称性;再利用描述性统计分析与非对称GARCH族实证模型相结合的方法检验我国农产品价格波动的非对称性;实证结果表明我国农产品价格波动的非对称性具有稳健性特征,并且EGARCH模型描述我国农产品价格波动的非对称性更为有效。最后绘制EGARCH模型的市场信息冲击曲线,进一步验证结论。更多还原

【Abstract】 Through the B-P filtering method,our country’s fluctuation of agricultural products price during 1999-2012can be divided into four periods,which showed obvious unrepeatability and asymmetry characteristics.To combine descriptive statistical analysis with empirical analysis using asymmetric GARCH class models,the result verifies that asymmetry in agricultural product price fluctuation exists. And asymmetry has through statistics and economic test of the models.Empirical process shows that asymmetry of agricultural product price fluctuation has robustness characteristics and EGARCH can describe this asymmetry more effectively.Finally draw market information impact curve of EGARCH model to further verify the conclusion.更多还原