新疆农业科学 ›› 2018, Vol. 55 ›› Issue (9): 1755-1762.DOI: 10.6048/j.issn.1001-4330.2018.09.022

• 农业经济 • 上一篇    

棉花市场价格时序变动、风险特征及作用因素分析

丁建国1,2, 穆月英1   

  1. 1.中国农业大学经济管理学院,北京 100083;
    2.新疆农业科学院农业经济与科技信息研究所,乌鲁木齐 830091
  • 收稿日期:2018-07-18 出版日期:2018-09-20 发布日期:2018-12-07
  • 通信作者: 穆月英(1963-),女,山西大同人,教授,博士,博士生导师,研究方向为农业经济,(E-mail)yueyingmu@cau.edu.cn
  • 作者简介:丁建国(1975-),男,新疆乌鲁木齐人,副研究员,博士研究生,研究方向为农业经济,(E-mail)djg@xaas.ac.cn
  • 基金资助:
    国家重点研发计划“粮食作物丰产增效资源配置机理与种植模式优化”(2016YFD0300210);国家自然科学基金项目“空间均衡视角下蔬菜跨区域供给和供给效应研究”(71773121);现代农业产业技术体系北京市果类蔬菜产业创新团队项目(BAIC01-2016);新疆科技厅软科学项目“供给侧结构改革下的新疆棉花价格风险及其管理研究”(2017D07014)

Time Series Variation, Risk Characteristics and Influential Factors of Cotton Market Price

DING Jian-guo1,2, MU Yue-ying1   

  1. 1.College of Economics and Management, China Agricultural University, Beijing 100083, China;
    2. Institute of Agricultural Economy and Scientific Technical Information, Xinjiang Academy of Agricultural Sciences, Urumqi 830091, China
  • Received:2018-07-18 Online:2018-09-20 Published:2018-12-07
  • Correspondence author: MU Yue-ying(1963-),female, native place: Datong, Shanxi. Profeesor, DAG; research field: Agricultural economic theory and policy. (E-mail)yueyingmu@cau.edu.cn
  • Supported by:
    National Key Research and Development Plan"Resource Allocation Mechanism and Planting Mode Optimization for High Yield and Efficiency of Food Crops" (2016YFD0300210); The National Natural Science Foundation of China "Study on the Vegetables Supply and Its Effect across Regions from the Perspective of Spatial Equilibrium" (71173121); Modern Agricultural Industry Technology System of Beijing Fruit and Vegetable Industry Innovation Team Project (BAIC01-2016); Soft Science Project of Xinjiang Science and Technology Department "Research on Xinjiang Cotton Price Risk and Its Management under the Reform of Supply Side Structure"( 2017D07014)

摘要: 【目的】研究棉花价格波动的特征及其主要作用因素,分析棉花市场价格波动的机理和规律,为科学测度棉花市场风险,完善棉花价格形成机制及棉花市场风险管理提供重要的参考依据。【方法】基于我国2000年1月~2017年11月集贸市场棉花(籽棉)月度价格,采用统计学方法,分析棉花市场价格的时序变动特征;运用EGARCH-X-M模型系统,分析棉花价格波动的风险特征及其作用因素。【结果】均值方程中的条件方差项的系数估计值ρ为0.185>0,条件方差方程中,条件方差对数项的系数估计值β为0.860,接近但小于1,杠杆效应项的系数估计值γ为-0.608<0,表明棉价波动存在显著的阶段性结构变化特征及集簇性、不对称性和负杠杆效应,棉花市场的波动性与价格之间及价格收益率与波动性之间存在显著的正相关关系,即预期价格越高,波动风险越大,波动风险越大,价格收益的预期补偿越高。【结论】我国棉花价格政策系列改革及市场环境变化,是造成棉花市场价格波动阶段性结构变化的主要原因。当棉花价格形成由市场机制主导时,价格风险管理措施配套完善对于稳定棉花市场价格波动具有重要的作用。

关键词: 棉花价格; 时序变动; 风险特征; 作用因素; EGARCH-X-M模型

Abstract: 【Objective】 To explore the characteristics of cotton price fluctuations and its main influential factors, grasp the mechanism and laws of cotton price fluctuations, and provide reasonable reference for scientifically measuring cotton market risks as well as improving cotton price formation mechanisms and cotton market risk management.【Method】Based on the monthly price of cotton (seed cotton) in China's market from January 2000 to November 2017, this paper first analyzes the temporal variation characteristics of cotton market price by using statistical method. Then EGARCH-X-M model is used to analyze the risk characteristics of cotton price fluctuation and its influencing factors.【Result】The estimate value of ρ in mean equation is 0.185, the estimate value of β in conditional variance equation is 0.860, and the estimate value of γ is -0.608. These results show that the cotton price variation appeard periodicity, clustering, asymmetric and negative leverage effects. There was significantly positive correlation between cotton market volatility and its price, as well as between the price returns and market volatility. That was, the higher the expected price, the greater the risk of volatility, while the greater the risk of volatility, the higher the expected compensation for price returns.【Conclusion】The serial reforms of the cotton price policy and exogenous shocks such as the financial crisis are the main causes of the periodic structural changes in the price fluctuations in the cotton market. When the cotton price formation is dominated by the market mechanism and the price risk management measures are completed, the cotton market price volatility tends to be flat, whereas the cotton market price fluctuations have structural changes; in addition, serious exogenous shocks such as the international financial crisis will make extreme changes appear in the cotton market environment, which no doubt will structurally increase the risk of cotton price fluctuations.

Key words: cotton price; time series variation; risk characteristics; influential factors; EGARCH-X-M Model

中图分类号: 


ISSN 1001-4330 CN 65-1097/S
邮发代号:58-18
国外代号:BM3342
主管:新疆农业科学院
主办:新疆农业科学院 新疆农业大学 新疆农学会

出版单位:《新疆农业科学》编辑部
地址:乌鲁木齐市南昌路403号新疆农业科学院
邮编:830091
电话:0991-4502046
E-mail:xjnykx-h@xaas.ac.cn


版权所有 © 《新疆农业科学》编辑部
本系统由北京玛格泰克科技发展有限公司设计开发
总访问量: 今日访问: 在线人数:
网站
微信公众号
淘宝购买
微店购买