我国主要蔬菜价格波动的关联性分析
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摘要
选取2004—2017年萝卜、西红柿、黄瓜等12种蔬菜的批发市场周度价格数据,利用广义预测误差方差分解和网络拓扑模型图分析了各品种的关联度。研究结果显示:1)在论证蔬菜价格波动内生性的基础上,发现各蔬菜之间呈现出较高关联度,且不同品种两两之间成对关联度差异明显,其中萝卜存在较强风险脆弱性,黄瓜、茄子等蔬菜则具有较强传染性;2)蔬菜间的相互影响构成蔬菜系统的网络拓扑模型,其中黄瓜、茄子、油菜最具系统重要性,而冬瓜、萝卜的系统重要性最弱。3)调整滞后阶数和预测步数,蔬菜关联度保持在60%～80%之间,依然处于较高水平,结果较为稳健。鉴于此,蔬菜价格波动的防控要把握系统内品种间的关联度,同时注意重点品种的传染性与脆弱性。
Based on the weekly wholesale price of 12 vegetables from 2004 to 2017,such as radish,tomato,cucumber,etc.,this paper adopted a generalized forecast error variance decomposition and complex network topology model to examine the co-integration of vegetable prices.Results show that:1) on the basis of the endogenous test,a high order of co-integration among vegetable prices was found through the generalized forecast error variance decomposition model.At the same time,there was a significant difference in the pairwise directional co-integration between different vegetable varieties.Among them,radish price was more vulnerable,and cucumber and eggplant prices were more infectious;2) the network topology analysis indicate that interactions among varieties in the entire vegetable system formed a complex network pattern:cucumber,eggplant,and rape prices were the most systematically important,while winter melon and radish prices showed a low level of significance;and 3) after adjusting the lag order and the number of prediction steps,the correlation degree was maintained between 60% and 80%,a relatively high degree with stationarity.Therefore,to monitor and control vegetable price fluctuations,this paper suggests to grasp the co-integration among different varieties within the system and to pay more attention to the infectivity and vulnerability of key varieties.
Based on the weekly wholesale price of 12 vegetables from 2004 to 2017,such as radish,tomato,cucumber,etc.,this paper adopted a generalized forecast error variance decomposition and complex network topology model to examine the co-integration of vegetable prices.Results show that:1) on the basis of the endogenous test,a high order of co-integration among vegetable prices was found through the generalized forecast error variance decomposition model.At the same time,there was a significant difference in the pairwise directional co-integration between different vegetable varieties.Among them,radish price was more vulnerable,and cucumber and eggplant prices were more infectious;2) the network topology analysis indicate that interactions among varieties in the entire vegetable system formed a complex network pattern:cucumber,eggplant,and rape prices were the most systematically important,while winter melon and radish prices showed a low level of significance;and 3) after adjusting the lag order and the number of prediction steps,the correlation degree was maintained between 60% and 80%,a relatively high degree with stationarity.Therefore,to monitor and control vegetable price fluctuations,this paper suggests to grasp the co-integration among different varieties within the system and to pay more attention to the infectivity and vulnerability of key varieties.
引文
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[15]顾焕章,李岳云,钟甫宁.人民币汇率并轨对中国农业对外贸易及农业利用外资的影响分析与对策建议[J].南京农业大学学报,1994,17(3):95-101.Gu H Z,Li Y Y,Zhong F N.Analysis of the impacts of unification of dual-exchange rates on China's agricultural trade and foreign funds utilization[J].Journal of Nanjing Agricultural University,1994,17(3):95-101.
[16]任潞生,张宏,孙新占,等.我国农产品购销差价研究[J].中国农村观察,1997(4):52-59.Ren L S,Zhang H,Sun X Z,et al.Research on the difference between the purchase and sale of agricultural products in China[J].China Rural Survey,1997(4):52-59.
[17]周章跃,万广华.论市场整合研究方法--兼评喻闻、黄季《从大米市场整合程度看我国粮食市场改革》一文[J].经济研究,1999(3):73-79.Zhou Z Y,Wan G H.On the research methods of market integration-comment on Yu Wen and Huang Ji's articles on the reform of China's grain market from the perspective of rice market integration[J].Economic Research Journal,1993(3):73-79.
[18]Sims C A.Macroeconomics and reality[J].Econometrica,1980,48(1):1-48.
[19]Pesaran M H,Shin Y.Generalized impulse response analysis in linear multivariate models[J].Economics Letters,1998,58(1):17-29.
[20]Diebold F X,Yilmaz K.Better to give than to receive:Predictive directional measurement of volatility spillovers[J].International Journal of Forecasting,2012,28(1):57-66.
[2]李崇光,宋长鸣.蔬菜水果产品价格波动与调控政策[J].农业经济问题,2016,37(2):17-24Li C G,Song C M.Study of vegetable and fruit products'price volatility causes and regulatory policies[J].Issues in Agricultural Economy,2016,37(2):17-24.
[3]Francis X Diebold,Kamil Y?lmaz.On the network topology of variance decompositions:Measuring the connectedness of financial firms[J].Journal of Econometrics,2014,182(1):119-134.
[4]李政,梁琪,涂晓枫.我国上市金融机构关联性研究--基于网络分析法[J].金融研究,2016(8):95-110.Li Z,Liang Q,Tu X F.The connectedness of Chinese listed financial institutions:A study based on network analysis[J].Financial Research,2016(8):95-100.
[5]赵翠萍.我国城乡蔬菜价格联动机制实证分析[J].农业技术经济,2012(6):80-86.Zhao C P.Empirical analysis of the linkage mechanism of urban and rural vegetable price in China[J].Journal of Agrotechnical Economics,2012(6):80-86.
[6]Carol Alexander,John Wyeth.Cointegration and market integration:An application to the Indonesian rice market[J].Journal of Development Studies,1994,30(2):303-334.
[7]王孝松,谢申祥.国际农产品价格如何影响了中国农产品价格?[J].经济研究,2012(3):141-153.Wang X S,Xie S X,How do prices of foreign agricultural products affect prices of Chinese agricultural products?[J].Economic Research Journal,2012(3):141-153.
[8]何晓燕,张蜀林.我国棉花期货与现货市场的价格发现与波动溢出效应[J].系统工程理论与实践,2013,33(7):1723-1728.He X Y,Zhang S L.Price discovery and volatility spillovers between futures and spot cotton market in China[J].System Engineering Theory and Practice,2013,33(7):1723-1728.
[9]李新建,吴春梅,黄敏学,等.我国油脂类期货价格之间的联动分析[J].华中农业大学学报(社会科学版),2011(2):39-43.Li X J,Wu C M,Huang M X,et al.Analysis on cooperation of soybean oil futures prices,colza oil futures prices and palm oil futures prices of China[J].Journal of Huazhong Agricultural University(Social Science Adition),2011(2):39-43.
[10]吴海霞,王静.我国粮食市场价格波动溢出效应研究[J].农业技术经济,2012(10):14-21.Wu H X,Wang J.Research on the spillover effect of China's grain market price[J].Journal of Agrotechnical Economics,2012(10):14-21.
[11]宋长鸣,李崇光.农产品市场的整合与替代研究--以蔬菜为例[J].中国农村经济,2012(11):78-87.Song C M,Li C G.Integration and substitution of agricultural products markets:Taking vegetables as an example[J].Chinese Rural Economy,2012(11):78-87.
[12]丁存振,肖海峰.我国羊肉价格波动特征及替代品价格冲击效应分析[J].农林经济管理学报,2017,16(3):316-322.Ding C Z,Xiao H F.Characteristics of mutton price fluctuation and the impact effect of substitutes prices in China[J].Journal of Agriculture and Forestry Economic Management,2017,16(3):316-322.
[13]Arnade C,Calvin L,Kuchler F.Consumer Response to a Food Safety Shock:The 2006 Food-Borne Illness Outbreak of E-coli O157:H7 Linked to Spinach[J].Review of Agricultural Economics,2009,31(4):734-750.
[14]宋长鸣.农产品价格轮番上涨的理论解释与实证分析[J].华南农业大学学报(社会科学版),2017,16(3):67-78.Song C M.Theoretical explanation and empirical study of various agricultural products prices rise simultaneously[J].Journal of South China Agricultural University,2017,16(3):67-78.
[15]顾焕章,李岳云,钟甫宁.人民币汇率并轨对中国农业对外贸易及农业利用外资的影响分析与对策建议[J].南京农业大学学报,1994,17(3):95-101.Gu H Z,Li Y Y,Zhong F N.Analysis of the impacts of unification of dual-exchange rates on China's agricultural trade and foreign funds utilization[J].Journal of Nanjing Agricultural University,1994,17(3):95-101.
[16]任潞生,张宏,孙新占,等.我国农产品购销差价研究[J].中国农村观察,1997(4):52-59.Ren L S,Zhang H,Sun X Z,et al.Research on the difference between the purchase and sale of agricultural products in China[J].China Rural Survey,1997(4):52-59.
[17]周章跃,万广华.论市场整合研究方法--兼评喻闻、黄季《从大米市场整合程度看我国粮食市场改革》一文[J].经济研究,1999(3):73-79.Zhou Z Y,Wan G H.On the research methods of market integration-comment on Yu Wen and Huang Ji's articles on the reform of China's grain market from the perspective of rice market integration[J].Economic Research Journal,1993(3):73-79.
[18]Sims C A.Macroeconomics and reality[J].Econometrica,1980,48(1):1-48.
[19]Pesaran M H,Shin Y.Generalized impulse response analysis in linear multivariate models[J].Economics Letters,1998,58(1):17-29.
[20]Diebold F X,Yilmaz K.Better to give than to receive:Predictive directional measurement of volatility spillovers[J].International Journal of Forecasting,2012,28(1):57-66.