中国林产品PPI指数波动的ARCH族-HP滤波分析

了解林产品生产者价格指数波动的特征对稳定林产品PPI和价格水平有重要意义。采用ARCH-LM和残差平方和相关图方法检验后认为:木材、竹材PPI序列不存在不存在ARCH效应;HP滤波分析显示木材和竹材行业的PPI指数长期趋势比较平稳,相比于木材市场,近期竹材的市场供求状态相对合理;采用GARCH-M、TARCH和EARCH模型分析认为胶脂和果实类林产品市场不存在"高风险-高收益"特征,但胶脂和果实类林产品PPI指数波动存在非对称性。

Study on Forest Products PPI Index Fluctuation in China Based on ARCH Family-HP Filter Model

It's important to Learn characteristics of forest products producer price index volatility for stable PPI and the price level.After Using ARCH-LM and the residual sum of squares correlation diagram method.We considerst that:wood,bamboo PPI does not exist ARCH effect,HP filter analysis shows wood and bamboo industry PPI index slong-term trend is relatively stable,compared to the timber market,supply and demand status of bamboo market relatively reasonable; using GARCH-M,TARCH and EARCH model analysis that plastic resin and fruit category forest products does not exist "high risk-high return"feature,but it's PPI index fluctuations exist asymmetry.