信息与畜产品价格波动的实证分析——基于山东省数据
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摘要
运用EGARCH模型,从信息经济学角度对山东省六种主要畜产品的价格波动进行实证分析。研究结果表明:生猪、仔猪、猪肉、牛肉、羊肉和鸡蛋的价格收益率序列显著偏离正态分布,存在波动集聚现象,即畜产品大的价格波动后面会连着大的价格波动、小的价格波动后面会连着小的价格波动。这意味着在一定程度上畜产品价格波动是可以预测的;鸡蛋价格波动的持续性和聚集性最强,生猪价格波动的持续性和聚集性最弱;信息对畜产品价格波动的影响显著,且表现为明显的非对称性;消费者和生产者对信息的反应不同,生产者对正向信息较为敏感,消费者对负向信息更敏感。
Using EGARCH model,the price fluctuation of six major animal products in Shandong Province was analyzed from the perspective of information economics.The results showed that the distribution of the price yield sequence of pig,piglet,pork,beef,mutton and egg was significantly deviated from normal distribution,and there is a phenomenon of volatility cluster.That was to say,the large price fluctuation of animal products would be attached to a large one,while the small fluctuation would be attached to a small one.To some extent,it meant that the livestock product price fluctuation could be predicted.The fluctuations in the price of eggs had the strongest continuity and clustering,while that of live pigs had the weakest continuity and clustering.The effect of information on price fluctuation of animal products was remarkable,and it showed obvious asymmetry.Consumers and producers reacted differently to information.Producers were sensitive to positive information,while consumers were more sensitive to negative information.
Using EGARCH model,the price fluctuation of six major animal products in Shandong Province was analyzed from the perspective of information economics.The results showed that the distribution of the price yield sequence of pig,piglet,pork,beef,mutton and egg was significantly deviated from normal distribution,and there is a phenomenon of volatility cluster.That was to say,the large price fluctuation of animal products would be attached to a large one,while the small fluctuation would be attached to a small one.To some extent,it meant that the livestock product price fluctuation could be predicted.The fluctuations in the price of eggs had the strongest continuity and clustering,while that of live pigs had the weakest continuity and clustering.The effect of information on price fluctuation of animal products was remarkable,and it showed obvious asymmetry.Consumers and producers reacted differently to information.Producers were sensitive to positive information,while consumers were more sensitive to negative information.
引文
[1]王贝贝,肖海峰.基于ARCH类模型的中国畜产品价格波动特征研究[J].农业经济与科技,2015(4):67-71.
[2]王宏梅,赵瑞莹.大数据视角下生猪价格波动的关联分析[J].山东社会科学,2017(10):158-163.
[3]赵守军,赵瑞莹.山东省生猪价格波动研究[J].科技与产业,2012(5):69-73.
[4]唐江桥,雷娜,徐学荣.我国畜产品价格波动分析——基于ARCH类模型[J].技术经济,2011(4):86-91.
[5]张丽平.当前我国畜产品价格波动现状、原因及对策[J].畜牧与饲料科学,2013,34(10):95-96.
[6]朱信凯,韩磊,曾晨晨.信息与农产品价格波动:基于EGARCH模型的分析[J].管理世界,2012(11):57-66.
[7]李秉龙,何秋红.中国猪肉价格短期波动及其原因分析[J].农业经济问题,2007(10):18-21.
[8]夏晓平,李秉龙.中国肉羊产业发展特征、矛盾及对策[J].农业经济与管理,2012(1):54-63.
[9]张正,吕杰,姜楠.我国禽肉价格波动及影响因素分析[J].农业技术经济,2006(1):76-78.
[10]孙世民,张媛媛,张健如,等.基于Logit_ISM模型的养猪场(户)良好质量安全行为实施意愿影响因素的实证分析[J].中国农村经济,2012(10):24-36.
[2]王宏梅,赵瑞莹.大数据视角下生猪价格波动的关联分析[J].山东社会科学,2017(10):158-163.
[3]赵守军,赵瑞莹.山东省生猪价格波动研究[J].科技与产业,2012(5):69-73.
[4]唐江桥,雷娜,徐学荣.我国畜产品价格波动分析——基于ARCH类模型[J].技术经济,2011(4):86-91.
[5]张丽平.当前我国畜产品价格波动现状、原因及对策[J].畜牧与饲料科学,2013,34(10):95-96.
[6]朱信凯,韩磊,曾晨晨.信息与农产品价格波动:基于EGARCH模型的分析[J].管理世界,2012(11):57-66.
[7]李秉龙,何秋红.中国猪肉价格短期波动及其原因分析[J].农业经济问题,2007(10):18-21.
[8]夏晓平,李秉龙.中国肉羊产业发展特征、矛盾及对策[J].农业经济与管理,2012(1):54-63.
[9]张正,吕杰,姜楠.我国禽肉价格波动及影响因素分析[J].农业技术经济,2006(1):76-78.
[10]孙世民,张媛媛,张健如,等.基于Logit_ISM模型的养猪场(户)良好质量安全行为实施意愿影响因素的实证分析[J].中国农村经济,2012(10):24-36.