| 基于易腐特性的我国柑橘市场价格波动风险分析 |
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| 引用本文： | 胡友,陈昕,祁春节.基于易腐特性的我国柑橘市场价格波动风险分析[J].南方农业学报,2022,53(1):257-267. |
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| 作者姓名： | 胡友 陈昕 祁春节 |
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| 作者单位： | 1 江西农业大学经济管理学院, 南昌 330045;2 华中农业大学经济管理学院, 武汉 430070 |
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| 基金项目： | 江西省人文社科基金项目;现代农业产业技术体系;江西省社会科学规划项目;江西省科技计划项目 |
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| 摘 要： | 【目的】基于易腐特性探讨柑橘市场价格波动的风险特征，对于把握柑橘市场发展规律、促进我国柑橘产业持续发展具有重要意义。【方法】基于2016年1月1日—2020年12月31日的日频数据，运用VaR方法和GARCH及其衍生的EGARCH模型，从易腐特性角度比较研究蜜桔、砂糖橘、芦柑、脐橙、甜橙和沙田柚等柑橘市场价格波动风险。【结果】易腐特性是柑橘价格波动风险的重要影响因素，即相较弱易腐性的柑橘水果而言，强易腐性的柑橘水果价格波动幅度更大，波动频率更高。风险价值分析结果表明，在90%置信水平下我国各品类柑橘价格波动的风险价值均高于安全阈值，且强易腐性柑橘的价格涨跌风险高于弱易腐性柑橘，表明不同品类柑橘的价格风险与其易腐特性强度密切相关。风险特征分析结果表明，各品类柑橘价格波动均具有较强的集簇性特征，且强易腐性柑橘价格波动的集簇性程度普遍高于弱易腐性柑橘，导致其价格风险更加难以预测，可能陷入连续下跌的境地。各品类柑橘价格波动对外部冲击的反应均呈现出明显的不对称性，且强易腐性柑橘价格波动对负向信息冲击的反应更强，更加容易被引发出剧烈震荡。【建议】构建柑橘价格波动预警机制，及时监测市场风险；推动柑橘贮藏保鲜设施建设，稳定市场价格波动；实施品类差异化的柑橘市场保险机制，降低市场经营风险。
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| 关 键 词： | 柑橘市场 易腐特性 价格波动 风险价值法（VaR） GARCH及其衍生模型 |
| 收稿时间： | 2021-07-09 |
Price volatility risk of citrus market in China based on perishable characteristics |
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| HU You,CHEN Xin,QI Chun-jie.Price volatility risk of citrus market in China based on perishable characteristics[J].Journal of Southern Agriculture,2022,53(1):257-267. |
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| Authors: | HU You CHEN Xin QI Chun-jie |
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| Affiliation: | 1 College of Economics and Management, Jiangxi Agricultural University, Nanchang 330045, China;2 College of Economics and Management, Huazhong Agricultural University, Wuhan 430070, China |
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| Abstract: | 【Objective】It was great significant to analyze the risk characteristics of fluctuations from fruit prices based on perishability for learning the regularities of citrus markets and promoting the sustainability of citrus industry in China. 【Method】Based on daily data from January 1st，2016 to December 31st，2020，VaR，GARCH and its deuterogenic model EGARCH were applied to study the risk characteristics of price fluctuations from citrus market such as tangerine，sugar tangerine，reed orange，navel orange，sweet orange and Shatian pomelos from a perspective of perishability in China. 【Result】The perishable property was an important influencing factor of the risk of citrus price fluctuation，that was，compared with the weakly perishable citrus fruits，the strongly perishable citrus fruit price fluctuated more and more frequently. The analysis of value at risk showed that under confidence level of 90%，the risk value of price fluctuations of various types of citrus in China exceeded the safety threshold level significantly，and the price risk of rise and fall of forced perishable citrus was significantly higher than that of weak perishable citrus，which indicated the risk of price fluctuation of various types was closely related to the strength of perishable characteristics on citrus. The analysis of risk characteristics showed price fluctuations of various types of citrus had strong clustering，but the clustering degree of price fluctuations of forcedperishable citrus was generally greater than that of weak perishable citrus，which making its price risk more difficult to predict. The price fluctuations of various citrus were all asymmetry，furthermore，the response of price fluctuations of forced perishable citrus to information shocks of negativity was greater than that of weak perishable citrus prices which caused the price risks in citrus market be more likely to be drawn into a violent concussion.【Suggestion】Establish an early warning mechanism for price fluctuations in citrus market to monitor the market risks in a timely manner；promote the facility construction of citrus storage and preservation to stabilize the supplies and price fluctuations in citrus market；implement a differentiated insurance mechanism in citrus market to reduce the market risks in citrus operation. |
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