山东省棉花价格波动特征及影响因素——基于ARCH类模型分析

THE CHARACTERISTICS AND INFLUENTIAL FACTORS OF COTTON PRICE IN SHANDONG——BASED ON ARCH-TYPE MODEL

关键词:  棉花价格 波动特征 ARCH类模型 影响因素 山东省

Key words:  cotton price  volatility characteristics  ARCH-type model  influential factors

摘要:

山东省作为全国第二，仅次于新疆的棉花生产加工大省，其棉花价格的波动对全国棉花价格有重要影响，但是近年来山东省棉花价格变动较大，棉农收益受损，棉农的种棉积极性受挫，棉花产量逐年降低。利用ARCH类模型对山东省棉花价格的波动及其特征和影响因素进行分析，结果表明山东省棉花价格波动具有显著的集簇性，山东棉花市场具有高风险高回报的特征，山东棉花价格波动具有非对称性； 影响山东棉花价格波动的主要因素是供需变动，此外国际市场价格对山东棉花价格具有传导作用，粮食价格和化纤价格的波动也对山东棉花价格产生影响。在山东棉花市场调节中，要特别关注引起价格下跌的因素并适当控制； 不断完善棉花市场，引导市场主体做出理性预期及决策； 充分利用进口和储备棉来调剂市场上棉花的供给，建立对棉花的目标价格补贴制度，刺激和鼓励棉花生产，稳定棉花价格。

Abstract:

Shandong, only behind Xinjiang, is a major cotton producing and processing province. The cotton price fluctuations in Shandong have an important influence on the national cotton price. However, in recent years, Shandong province cotton price changed greatly that damaged the cotton farmers′ income, their initiative in planting cotton, and the yield and quality of cotton. This paper analyzed the short-term fluctuation of cotton price and influencing factors in Shandong by ARCH-type model. The result showed that the price volatility of cotton had a significant feature of volatility clustering feature and the asymmetric volatility, the market of cotton in Shandong had the characteristics of high-risk and high-reward; the important influencing factors of the cotton price included the demand-supply alteration, the international market price, and the food price and the chemical fiber price. Finally, it put forward some suggestions to stabilize the cotton price in Shandong, such as to improve the cotton market and guide the market subjects to make rational decisions, adjust market supply by imports and cotton reserves, establish the price of cotton subsidy system, and stimulate cotton production in Shandong.