Variance of Agricultural Prices, Industrial Prices, and Money
用多变量ARCH和GARCH模型分析农产品价格、工业品价格与货币供应量增长的不确定性，发现农产品价格的条件方差远大于工业品价格和货币供应量，且对货币供应量方差变化更敏感，为理解农民面临的不确定性及1980年代初农业金融危机提供了新视角。
Abstract The relative uncertainty of agricultural prices and industrial prices with respect to the uncertainty of growth in the money supply are investigated utilizing multivariate ARCH and GARCH analysis. The conditional variances of agricultural prices were shown to dwarf the variances of industrial prices and the money supply. The relatively greater sensitivity of the conditional variance of agricultural prices to changes in the variance of the money supply than industrial prices found in this analysis provides a further perspective on the uncertainty confronting farmers, including the impacts of the monetary policy shock that precipitated the farm financial crisis in the early 1980s.