摘要
以1994年6月至2017年4月中国仔猪价格、生猪价格和猪肉价格及1970~2016年美国猪肉价格、2000~2016年美国生猪价格月度时间序列数据为样本,本文通过分别建立不同的GARCH模型从集聚效应、持续效应和非对称效应三方面对中美生猪市场价格的波动性特征进行了比较分析并通过在不同的GARCH模型中引入代表2009年猪肉收储政策和2016年农业投入机制改革政策两个虚拟变量考察了中国生猪产业政策对生猪市场价格波动的影响。结果表明:(1)中美两国的所有猪价的波动均具有集聚效应和持续效应,其中美国猪肉价格波动的集聚效应最大、中国猪肉价格波动的持续效应最大,只有中国生猪价格、美国猪肉价格和生猪价格存在波动非对称效应,中国生猪价格和美国猪肉价格波动的非对称效应为负,美国生猪价格波动为正;(2)中国的猪肉收储政策和农业投入机制改革政策对仔猪价格波动性无显著影响,对猪肉价格和生猪价格波动却具有明显的放大作用。从波动性特征的变化来看,只有生猪价格受到政策因素的显著冲击,表现为对外部冲击的敏感度降低,波动性持续效应增强且非对称效应减弱。
Choosing monthly data of China piglet price, hog price, pork price from April 1994 to April 2017, US pork price from 1970 to 2016, and US pork price from 2000 to 2016 as sample, this paper builds different GARCH models to examine and compare the price volatilities of China and US hog markets from the perspective of agglomeration effect, persistence effect and asymmetric effect, and then introduces two virtual variables such as pork stockpiling policy of 2009 and agricultural investment system reform of 2016 into each GARCH models to study on the effect of China hog industry policy to hog price volatility. The results show that： ①The volatilities of all prices from beth China market and US market have agglomeration effect and persistence effect with the largest agglomeration effect in the volatility of US pork price and the largest persistence effect in the volatility of China pork price, while asymmetric effect only ex- ists in the volatility of China hog price, US hog price and US pork price with negative effect for China hog price and US perk price, and with positive effect for US hog price. ②Pork stockpiling policy and agricultural investment system reform have little impact on piglet price volatility, but they have significant amplification effect on pork price and hog price volatilities. It can be seen from the price vola- tility change that only hog price volatility is affected by policies, showing reduced sensitivity to external shocks, enhanced persistence effect and weakened asymmetry effect.
作者
张敏
刘凤根
周驭舰
ZHANG Min LIU Feng- Gen ZHOU Yu-jian(School of Trade and Economics, Hunan University of Commerce, Changsha, Hunan 410205 School of Finance, Hunan University of Commerce, Changsha, Hunan 410205)
出处
《商学研究》
2017年第5期53-60,共8页
Commercial Science Research
基金
国家社科基金一般项目“生猪价格波动的非线性动态特征及平抑机制研究”(项目编号:11BJY117)的阶段性研究成果
