基于 C(n)GMIDAS模型的中国鸡蛋价格 混频预测预警研究
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中国农业科学院创新工程项目(CAASGASTIPG2020GAIIG02);农业农村部农业科研杰出人才经费.


Mixing Prediction and Earlywarning of China’s Eggs Price Based on C(n)-MIDAS Model
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    摘要:

    作为国内首个上市的畜牧期货产品,中国鸡蛋价格体系趋于完善,但受产销信 息不对称、运输损耗较大等多种因素影响,鸡蛋价格波动频繁,亟须对其进行动态监测、加强 预警,选优监测预警方法以提高预警精度、保障市场的相对稳定.在分析国内外相关研究成 果的基础上,采用时差相关分析和变量投影重要性(VIP)技术进行变量选择,从影响鸡蛋价 格波动的18个混频指标中筛选出贡献度较高的4个重要先行指标以及2个待定指标;探讨 不同指标选择下 C(n)GMIDAS、PDL和 ARIMA 模型的预测精度变化,最后运用选定模型 结合中国农产品监测预警阈值表对2021年3-12月鸡蛋价格进行预测预警.研究发现: C(n)GMIDAS 模 型 用 于 鸡 蛋 价 格 短 期 预 测 具 有 比 较 优 势;加 入 鸡 蛋 期 货 价 格 后 的 C(5)GMIDAS模型预测效果最好,且能及时将最新公布的高频数据纳入模型修正预测结果、 提高预测精度;基于 C(n)GMIDAS模型得到的预警结果可以迅速发现警情,精准定位警源, 提前捕捉未发警情.未来可以通过加强重点指标监管力度、加强涵盖全国各省市的鸡蛋监 测预警体系建设以及跟踪学术前沿,将金融经济行业的最新研究方法应用到鸡蛋产业等对 鸡蛋市场监测预警进行广度和深度的扩展,保障鸡蛋产业平稳有序运行.

    Abstract:

    As the first listed futures of livestock products,China’s eggs price system tends to be perfect,but the price fluctuates frequently because of the information asymmetry in production and marketing,transportation loss and other factors.There is an urgent need to dynamically monitor the price of China’s eggs and strengthen early-warning,choose the optimal methods of monitoring and early-warning,so as to improve the accuracy of early-warning and guarantee the relative stability of eggs market.Based on the literature of relative researches at home and abroad,this paper chooses 4 important leading indicators with high contribution and 2 undetermined indicators from 18 mixed data affecting eggs price fluctuation by variable selection based on Time Difference Correlation Analysis and Variable Importance in Projection (VIP) technology,and discusses the precision of model prediction of C(n)-MIDAS,PDL and ARIMA including different indicators.Finally the selected models are employed to forecast the eggs price from Mar.to Dec.in 2021 combining the monitoring and early-warning threshold table of China’s agricultural products.It is found that,mixed data model has a comparative advantage in shortterm prediction of eggs price,the C(5)-MIDAS with the addition of egg futures price has the best prediction effect,and the newly published high-frequency data can be incorporated into the model in a timely manner to correct the prediction results and improve the prediction accuracy.The early-warning results obtained based on the C(n)-MIDAS model can quickly detect alarms,identify the alarm sources accurately,and capture the alarm situation yet to occur in advance.In the future,we could expand the scope and depth of eggs market monitoring and early-warning through strengthening the supervision of key indicators,enhancing the construction of monitoring and early-warning system of eggs covering all provinces and cities in China,and following the academic frontier and adopting the latest research methods in financial and economic industry in the egg industry,so as to ensure the smooth operation of egg industry.

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吴 培,李哲敏.基于 C(n)GMIDAS模型的中国鸡蛋价格 混频预测预警研究[J].华中农业大学学报(社会科学版),2021(5):85-97

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  • 在线发布日期: 2021-09-19
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