The Research On Nonlinear Dynamic Characteristics Of Chinese Agricultural Prices

Highly fluctuating price of agricultural products is infaust to either agricultural producing or human’s life. Thus, both accurate identification to characteristics of fluctuating price and scientifically estimating trend of agricultural products in China could help related authorities to take actions to prevent it from risks, and provide department concerned’s with microcosmic theoretical basis and real evidence support for their macro-economic Control. While the adjustment to equalization of agricultural products’price is not in a fixed speed, in a non-linear trend otherwise, it will be hard to obtain its dynamic adjustment process by a traditional linear model. The following questions were researched by rising probolms, analyzing probolms (theory and real evidence analysis),and then solving probolms.Firstly, non-linear dynamic characteristics in the process of price fluctuating of agricultural products were researched. Via ARCH LM test,Quandt-Andrews breakpoint test,Hodrick-Prescott filter, it has been found that there are several non-linear dynamic characteristics including clusting, time varying, Nonlinear Regime-Switching and Asymmetric in the process of various agricultural products price adjustments.Secondly,the reasons of fluctuating price of agricultural products appearing in non-linear dynamic characteristics were researched. The reasons of price clustering of agricultural products lies in natural hazard attacking,agricultural producers’ decentralized decision-making, intermittent epidemic, economic subject of farmer’s heterogeneous Beliefs and agricultural products’capitalization.Nonlinear Regime-Switching are owing to the change of agricultural products’price formation mechanism and the difference between every agricultural prices reaction mechanisms under different price terms.Asymmetric price transmission is as a result of market power, price protection, asymmetric adjustment costs, asymmetric information, the product characteristics and transportation costs.Thirdly, nine kinds of agricultural products’non-linear dynamic characteristics were described Through non-linear time series modeling method. Through TGARCH,EGARCH and CGARCH model, we found that9kinds of agricultural products in China including rice,pork,tomatoes have volatility clustering characteristics. Besides price of rice,there also exists asymmetric effect in price fluctuating of wheat soybean, oil, pork,beef,chicken, tomato, pepper and potato, there is also non-linear transition among these9kinds of agricultural products mentioned above, furthermore,they switch from two different systems with different speed. In the meantime,research results show that fitting results of non-linear model (ARCH models、SETAR model、STAR model) are superior to that of linear model (AR model). Through MS-VAR model, it is also found that price fluctuating operation mechanism of these nine kinds of agricultural products’ can be classified to there kinds-declining, generally stable (slightly increasing) and rising, among which these nine kinds appears different transition rate and average duration. Through TAR,C-TAR,MTAR and MC-TAR model, result shows that price transmission in China between soybean,soybean meal and soybean oil is asymmetric; and impact made by soybean’ price in international market on price transmission in domestic market is symmetrical,while the impact on price transmission of soybean oil is Asymmetric. Before the stage of scaling, price transmission between pork and corn is Asymmetric, but after the stage of scaling,it is symmetrical. Within four stages of pork industry chain, there all exist Asymmetric price transmission.Lastly, while relevant departments proceed to control agricultural products price, it’d be better to pay attention to the threshold of price transmission and transition, the different commutative transition rate among different systems and the range and speed of price adjusting in different systems or stages of all kinds of agricultural products, and control the timing, rhythm and intensity of price adjustment to get better targeted micro-control. It is also in need to further perfect agricultural products’ price, construct supply-demand information platform,improve market mechanism of agricultural products and agricultural products’ futures market, establish targeting agricultural policy, and improve emergency response mechanism of agricultural products.