我国农产品价格与CPI动态关联性分析

采用1997-03—2013-12的时间序列数据,构建贝叶斯DCC-GARCH模型,分析农产品价格与居民消费价格指数(CPI)之间的动态关联性。结果表明:1)农产品价格及CPI的波动具有非对称性,波动衰减速度缓慢,且衰减速度随着波动幅度的加大而减缓。2)畜产品价格与CPI关联更为密切,粮食价格与CPI关联相对较弱;畜产品价格中与CPI波动关联性最强的是猪肉价格,其次为鸡蛋和鸡肉价格,牛羊肉价格与CPI关联度相对较小,粮食价格中籼稻和粳稻价格与CPI的关联度更高。3)农产品价格与CPI的关联性具有时变性;畜产品价格与CPI波动关系大致表现出前期稳定,后期更为密切的特征。农产品市场重要程度、国家政策支持力度及随机事件冲击,致使关联性在品种间和时间上存在差异。

A study on the dynamic correlation between agricultural product prices and CPI in China

Using prices of major agricultural products and consumer price index (CPI) from March 1997 to December 2013,a Bayesian dynamic conditional correlation (GARCH) model is established to analyze the dynamic correlation between agricultural product prices and CPI.The results show that:The volatilities of agricultural product prices and CPI are asymmetrical,and the volatilities'' rate of decay is slow.With the increasing of prices and CPI''s fluctuation range,the rate of decay is more and more slow.And the correlation between animal product prices and CPI is closer than that of grain product prices and CPI.For animal product price,the co-volatility of pork price with CPI is fluctuated remarkably,the co-volatilities of egg and chicken prices with CPI are followed,and that of beef and mutton prices is less than the formers.For grain prices,the correlation between long-grained non-glutinous and round-grained rice price and CPI is closer than that of other grain product prices.The correlation between agricultural product prices and CPI is time-varying.The early stage of co-volatilities between animal product prices and CPI is more stable than the later.In conclusion,the variation of co-volatilities in different prices and phases comes from the importance of agricultural product markets,policy support and stochastic impact.