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本文基于1999-2013的中国农产品交易价格月度数据,使用Koenker&Xiao(2006)提出的分位数自回归模型以及Koenker&Xiao(2004)提出的分位数单位根检验,对中国农产品价格惯性的非对称特征进行了研究。通过分析不同分位点上的惯性系数、单位根检验和半衰期,本文得到了非常稳健的结果:中国农产品价格存在惯性特征,而且在不同分位点上的惯性特征是不一样的,呈现显著的非对称特征;2003年6月之前所以分位点上均存在惯性特征;而在2003年6月之后,在低分位点上,惯性特征并不显著,但在高分位点上,存在显著的惯性特征。总体来看,价格波动幅度越大,惯性越强。
Based on the monthly quantile transaction price of Chinese agricultural products from 1999 to 2013 and using the quantile autoregression model proposed by Koenker and Xiao (2006) and the quantile unit root test proposed by Koenker and Xiao (2004), the asymmetry characteristics of China’s agricultural product price inertia Study. By analyzing the coefficients of inertia, unit root test and half-life at different sub-loci, we obtain a very robust result: the price of agricultural products in China has the characteristics of inertia, and the inertial characteristics at different sub-loci are not the same, showing significant As of June 2003, there was an inertial characteristic at the sub-locus before June 2003. After June 2003, the inertia characteristics were not significant at the low-quantile locus but significant at the high-scores Inertial features. In general, the greater the price volatility, the stronger the inertia.