|
|
Finance 2023
基于STAR模型初步分析我国大宗商品价格指数的非线性特征
|
Abstract:
本文通过平滑转移自回归(STAR)模型，初步分析我国大宗商品价格波动的非线性调整特征，实现从线性到非线性的逐步实证检验以建立ESTAR模型，描述了大宗商品价格机制转换的速度、滞后期和门限值等，充分反映了大宗商品动态调整过程的非线性变化特征，为有关部门稳定大宗商品价格提供相关指标的参考。
In this paper, through the smoothed transfer autoregressive (STAR) model, we initially analyze the nonlinear adjustment characteristics of China’s commodity price fluctuations, realize the step-by-step empirical test from linear to nonlinear to establish the ESTAR model, describe the speed, lag period and threshold value of commodity price mechanism conversion, etc., fully reflect the nonlinear change characteristics of the dynamic adjustment process of commodities. It provides a reference of relevant indicators for the relevant departments to stabilize commodity prices.
| [1] | 郭文伟. 国内外大宗商品价格泡沫传染机制研究[J]. 中央财经大学学报, 2022(4): 37-49. |
| [2] | 韩立岩, 尹力博. 投机行为还是实际需求?——国际大宗商品价格影响因素的广义视角分析[J]. 经济研究, 2012, 47(12): 83-96. |
| [3] | 王书平, 魏晓萌, 吴振信. 考虑结构突变的大宗商品价格波动对中国经济的影响分析[J]. 工业技术经济, 2017, 36(4): 122-130. |
| [4] | 周锦, 李崇光. 非线性视角下蔬菜市场价格的波动特征——基于STAR模型[J]. 华中农业大学学报(社会科学版), 2014(6): 31-38. |
| [5] | 危黎黎, 李超, 李余辉. 基于STAR模型的人民币汇率非线性特征及预测[J]. 统计与决策, 2014(9): 89-92. |
| [6] | 毛学峰, 曾寅初. 我国生猪市场价格动态变动规律研究——基于月度价格非线性模型分析[J]. 农业技术经济, 2009(3): 87-93. |
| [7] | Terasvirta, T. and Anderson, H.M. (1992) Charac-terizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models. Journal of Applied Econo-metrics, 7, S119-S136. https://doi.org/10.1002/jae.3950070509 |
| [8] | van Dijk, D., Ter？svirta, T. and Franses, P.H. (2002) Smooth Transition Autoregressive Models—A Survey of Recent Developments. Econometric Reviews, 21, 1-47. https://doi.org/10.1081/ETC-120008723 |
| [9] | Terasvirta, T. (1994) Specification, Estimation and Evaluation of Smooth Transition Autoregressive Models. Journal of the American Statistical Association, 89, 208-218. https://doi.org/10.1080/01621459.1994.10476462 |
| [10] | 栾惠德. 居民消费价格指数的实时监测——基于季节调整的方法[J]. 经济科学, 2007(2): 59-67. |
| [11] | Kapetanios, G., Shin, Y. and Snell, A. (2003) Testing for a Unit Root in the Nonlinear STAR Framework. Journal of Econometrics, 112, 359-379. https://doi.org/10.1016/S0304-4076(02)00202-6 |
| [12] | Kruse, R. (2011) A New Unit Root Test against ESTAR Based on a Class of Modified Statistics. Statistical Papers, 52, 71-85. https://doi.org/10.1007/s00362-009-0204-1 |
| [13] | Eklund, B. (2003) Testing the Unit Root Hypothesis against the Logistic Smooth Transition Autoregression Model. SSE/EFI Working Paper Series in Economics and Finance No. 546, Stockholm School of Economics, Stockholm. |
| [14] | Eklund, B. (2003) A Nonlinear Alternative to the Unit Root Hy-pothesis. SSE/EFI Working Paper Series in Economics and Finance No. 547, Stockholm School of Economics, Stock-holm. |
| [15] | 刘雪燕, 张晓峒. 非线性LSTAR模型中的单位根检验[J]. 南开经济研究, 2009(1): 61-74. |
