山东省大蒜价格波动特征及影响因素分析

摘要

GARCH-M and E-GARCH models were employed to analyze thevolatility of market price of garlics in Shandong Province from January 2006 to May 2016.The principal component regression analysis was applied to determine the major factors that affected the price fluctuations in 2003-2015.The results showed that the garlic price fluctuated (a) in a socalled "leptokurtosis,abnormal" characteristic with lasting presences;(b) with significant agglomeration and asymmetricity on the effect of market information,a downward trend brought about much greater impact on price than an upward one;and (c) with high risk as well as high return for the business.In 2003-2015,the F1 mixed factor played a fundamental role,while the F2 yield factor exerted a dominant effect,on the market.The garlic price was dictated by the supply and demand,operational costs and other macro factors.The production volume,planting area and exportation of garlics in the province were the most important elements that drove the market movements.%利用GARCH-M、EGARCH模型对山东省2006年1月至2016年5月大蒜批发价格波动特征进行实证分析,采用主成分回归模型对2003-2015年的山东省大蒜价格波动各影响因素进行实证分析.结果表明:大蒜价格波动具有明显的“尖峰肥尾、非正态”的特征且波动持久性较强;具有显著集聚性和非对称性,价格下跌信息带来的冲击比价格上涨信息的冲击大得多;大蒜市场具有高风险高回报的特征.在2003-2015年大蒜价格波动中,混合因子F1起基础性作用,产量因子F2起主导作用.2003-2015年山东省大蒜价格波动主要受供求因素、成本因素和宏观因素等的影响,其中影响最大的是产量、种植面积和出口额.