Research On The Volatility Of Chinese Agricultural Products Price

In recent years, the rapid growth in agricultural products price has become an important reason for the rise of the consumer price index. At the same time, price volatility has been increasing, too. The fluctuation of agricultural products price brings great impact and risk to Chinese economics and farmers. What has caused Chinese agricultural products prices continued, high volatility? These fluctuations are more influenced by short-term seasonal factors, or more subject to changes in Chinese macro-economic environment? In the context of increased price volatility of agricultural products, the answer to these questions has become urgent and significant research.Most domestic research concentrated on the reasons of rising agricultural products prices, few studies on agricultural products price volatility. This paper makes research on the agricultural products price volatility using Component GARCH model, mainly inspects the dynamic relationship between macroeconomic variables and agricultural products price volatility.The agricultural products price’s monthly data from2000to2013was used in the paper. All of the data is selected from "China Yearbook of Agricultural Price Survey" and CEI statistical databases. The price of pork, beef and peanut oil was selected as the main object of study.Changes in the agricultural products price is stationary time series data, and heteroscedasticity effect is obvious, the data can be modeled using Component GARCH model.Component GARCH model estimation results indicate that long-term trend volatility in agricultural products prices fluctuation play different roles in these agricultural productss. We also use asymmetric Component GARCH model to test whether agricultural products price fluctuations exists leverage effcets.This paper selects the CPI, money supply,real effective exchange rate to explain the long-term trend component of agricultural products price fluctuation.A SVAR model was established to describe the dynamic relationship between macroeconomic variables and the long-term trend component of agricultural products price fluctuation.Of course, there are many limitations herein, subjected to the existing estimation techniques. This article is more subjective in model selection,too. Because of data limitations, this article is less variety of agricultural products.Due to the different agricultural products posed different production cycle demand, the price mechanism is not the same,too.