商业研究
商業研究
상업연구
COMMERCIAL RESEARCH
2015年
1期
23-27
,共5页
Copula%资产化农产品%通货膨胀%相依关系
Copula%資產化農產品%通貨膨脹%相依關繫
Copula%자산화농산품%통화팽창%상의관계
Copula%capitalized agricultural produces%inflation%interdependence
本文将具有资本品特征的农产品称为资产化农产品，以猪肉作为资产化农产品的代表，利用五种Copula函数计算了通货膨胀率序列和猪肉价格指数收益序列的相依系数；通过AIC和BIC法则选择Frank Copula为最优模型，并基于Frank Copula模型计算了通货膨胀率和猪肉价格波动率之间的Kendall’τ和Spearman’ρ相依系数。结果表明通货膨胀率和猪肉价格波动率之间存在正的相依关系，猪肉价格上涨对诱发通货膨胀有很强的推动作用。
本文將具有資本品特徵的農產品稱為資產化農產品，以豬肉作為資產化農產品的代錶，利用五種Copula函數計算瞭通貨膨脹率序列和豬肉價格指數收益序列的相依繫數；通過AIC和BIC法則選擇Frank Copula為最優模型，併基于Frank Copula模型計算瞭通貨膨脹率和豬肉價格波動率之間的Kendall’τ和Spearman’ρ相依繫數。結果錶明通貨膨脹率和豬肉價格波動率之間存在正的相依關繫，豬肉價格上漲對誘髮通貨膨脹有很彊的推動作用。
본문장구유자본품특정적농산품칭위자산화농산품，이저육작위자산화농산품적대표，이용오충Copula함수계산료통화팽창솔서렬화저육개격지수수익서렬적상의계수；통과AIC화BIC법칙선택Frank Copula위최우모형，병기우Frank Copula모형계산료통화팽창솔화저육개격파동솔지간적Kendall’τ화Spearman’ρ상의계수。결과표명통화팽창솔화저육개격파동솔지간존재정적상의관계，저육개격상창대유발통화팽창유흔강적추동작용。
This paper calls the produces with capital goods characteristic capitalized agricultural produces , and takes pork as an example to calculate the coefficient of contingency of inflation and price fluctuation of pork by using five fami-lies of copula models;based on the Akaike Information Criterion ( AIC) and Bayesian Information Criterion ( BIC,) the frank copula is found to be the most suitable to model the interdependence between inflation and price fluctuation of pork. Using the frank copula, we calculate the Kendall′τand Spearman′ρbetween inflation and price fluctuation of pork.The results indicate that there are positive correlations between them.The rise of pork price has remarkable impact on infla-tion.
