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Dynamics of Potato Prices

In: Business and Management

Submitted By alekslion
Words 497
Pages 2
Интуитивно мы говорим о том, что цены на сельскохозяйственную продукцию растут от начала сезона сбора урожая и достигают своего максимума к 4-1 кварталу календарного года.
Своей задачей мы поставили выявить и наглядно доказать существование такой закономерности, а также более точно оценить величину такого роста.
В качестве источника данных были использованы данные Госкомостата России об индексе цен производителей (в % к предыдущему месяцу) на картофель по Центральному федеральному округу за период с 01.01.2002 по 01.06.2015.
Наглядно это выглядит вот так:

На данном графике можно выделить наличие чередующихся минимумом и максимумов.
Для выявления наличия каких либо зависимостей в динамике цен нами была проведена сезонная декомпозиция данного временного ряда.
Основная идея сезонной декомпозиции проста. В общем случае временной ряд типа того, который описан выше, можно представить себе состоящим из четырех различных компонент:
(1) сезонной компоненты,
(2) тренда (Tt),
(3) циклической компоненты и,
(4) случайной, нерегулярной компоненты или флуктуации.
Разница между циклической и сезонной компонентой состоит в том, что последняя имеет регулярную (сезонную) периодичность, тогда как циклические факторы обычно имеют более длительный эффект, который к тому же меняется от цикла к циклу. В используемом нами методе (Census I) тренд и циклическая компоненты объединены в одну тренд-циклическую компоненту. Конкретные функциональные взаимосвязи между этими компонентами могут иметь самый разный вид.
На первом этапе мы постарались выявить и доказать наличие сезонного фактора в данном временном ряде для чего использовали методы автокорреляционного анализа и спектрального анализа Фурье:

Автокорреляционный анализ показывает наличие сезонных лагов (циклов) на приемлемом уровне значимости с длительностью цикла в 6 и 12 месяцев.
Спектральный анализ Фурье подтверждает наличие цикличности на уровне 4, 6, 12 и 32 месяцев, при этом цикл длинной в 12 месяцев наиболее значим.

Проведя сезонную декомпозицию временного ряда с длительностью сезонного цикла в 12 месяцев мы выделили тренд-циклическую составляющую:

где можно отметить ярко выраженные экстремумы – рост цен после аномальной засухи 2010 года и последующее снижение, а также наличие более длительного – приблизительно 3-х летнего цикла.
Сезонная составляющая данного временного ряда выглядит следующим образом:

И более наглядно для цикла длиной в 12 месяцев:

Данная диаграмма наглядно показывает: 1. рост цен на картофель с сентября по февраль, 2. снижение цен с марта по июнь, что обусловлено падением качества картофеля в результате его длительно хранения, 3. некоторый рост в июне – августе, что обусловлено ростом цен на реализуемый молодой картофель нового урожая 4. и резкое снижение цен к сентябрю – периоду массовой уборки картофеля.
Принимая во внимание, что в качестве исходных данных мы использовали цепные индексы роста для анализа сезонной составляющей и оценки потенциальной выгоды переноса графика продаж с картофеля с августа – сентября на январь февраль месяц за базовую цену картофеля можно взять цены сентября и проанализировать их изменение в течение сезонного цикла: Таким образом, можно сделать вывод, что в среднем за период с 2002 по 2015 год цены на картофель в феврале были на 58,7% выше чем в сентябре предыдущего года. Перенос срока реализации продукции на сумму 90 млн. рублей с сентября на февраль позволит предприятию получить дополнительный денежный поток в объеме до 52,8 млн. рублей…...

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