贵州生猪与仔猪价格波动分析
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摘要
以贵州生猪与仔猪市场价格波动为背景,利用2001-2016年贵州生猪与仔猪月度市场价格统计数据,采用HP滤波法、ARCH类模型分析了贵州生猪与仔猪市场价格波动规律,得出:(1)贵州生猪价格走势大致经历了四个周期,分别呈"/"、"V"、"U"、大"U"形;其价格波动率序列呈"右偏、尖峰、厚尾"特征,不存在ARCH效应;(2)贵州仔猪价格走势大致经历了四个周期,分别呈"/"、"V"、"V"和"U"形;其价格波动率序列呈"左偏、尖峰、厚尾"特征,存在显著的ARCH效应,具有明显的波动聚集性,且杠杆效应不明显,仔猪市场不具有"高风险高回报,低风险低回报"特征。基于结论提出积极发展生猪规模养殖、加大生猪与仔猪价格监测预警、加强疫病防治体系建设、建立高效安全的饲料生产体系、加强流通环节与渠道建设等对策建议。
Based on the price fluctuation of live pig and piglet market in Guizhou,the work analyzes the price fluctuation law of live pig and piglet market in Guizhou by HP filtering method and ARCH model according to the monthly price statistical data of live pig and piglet market in Guizhou from 2001 to 2016,and comes up with the conclusion:(1) The price trend of live pig in Guizhou has roughly gone through four cycles,namely "/","V","U" and large "U".The price volatility sequence is characterized by "right deviation,peak and thick tail",and there is no ARCH effect;(2) The price trend of piglets in Guizhou has also roughly gone through four cycles,which are "/","V","V" and "U" respectively.The price volatility sequence is characterized by "left deviation,peak and thick tail",with significant ARCH effect,obvious volatility aggregation and insignificant leverage effect.The piglet market does not have the characteristics of "high risk and high return and low risk and low return".Based on the conclusion,some countermeasures and suggestions are put forward,such as actively developing live pig scale breeding,enhancing the price monitoring and early warning of live pig and piglet,strengthening the construction of disease prevention and control system,establishing efficient and safe feed production system,and strengthening the construction of circulation links and channel.
Based on the price fluctuation of live pig and piglet market in Guizhou,the work analyzes the price fluctuation law of live pig and piglet market in Guizhou by HP filtering method and ARCH model according to the monthly price statistical data of live pig and piglet market in Guizhou from 2001 to 2016,and comes up with the conclusion:(1) The price trend of live pig in Guizhou has roughly gone through four cycles,namely "/","V","U" and large "U".The price volatility sequence is characterized by "right deviation,peak and thick tail",and there is no ARCH effect;(2) The price trend of piglets in Guizhou has also roughly gone through four cycles,which are "/","V","V" and "U" respectively.The price volatility sequence is characterized by "left deviation,peak and thick tail",with significant ARCH effect,obvious volatility aggregation and insignificant leverage effect.The piglet market does not have the characteristics of "high risk and high return and low risk and low return".Based on the conclusion,some countermeasures and suggestions are put forward,such as actively developing live pig scale breeding,enhancing the price monitoring and early warning of live pig and piglet,strengthening the construction of disease prevention and control system,establishing efficient and safe feed production system,and strengthening the construction of circulation links and channel.
引文
[1]毛学峰,曾寅初.我国生猪市场价格动态变动规律研究--基于月度价格非线性模型分析[J].农业技术经济,2009(3):87-93.
[2]商迪,于路存,董谦,等.基于多元GARCH模型的猪肉价格与仔猪价格波动研究[J].黑龙江畜牧兽医,2017(20):40-43.
[3]郭志超,卫士加.特大型城市猪肉产销价格传导机制研究--基于北京市猪肉价格与外埠猪源地价格相关性分析[J].价格理论与实践,2017(10):72-75.
[4]张宇青,周应恒,易中懿.中国生猪出栏价格波动的非线性特征分析与预测[J].统计与决策,2015(1):141-143.
[5]吕东辉,杨祚,金春雨.基于MS-ARCH模型的我国生猪价格波动特征检验及其与CPI变动关联性分析[J].农业技术经济,2012(9):96-103.
[6]段海波,薛英俊.我国生猪市场价格波动特征与调控建议[J].价格理论与实践,2010(8):20-21.
[7]黎东升,刘小乐.我国生猪价格波动新特征--基于HP和BP滤波法的实证分析[J].农村经济,2015(6):52-55.
[8]罗千峰,张利庠.基于B-N分解法的我国生猪价格波动特征研究[J].农业技术经济,2018(7):93-106.
[9]董晓霞.中国生猪价格与猪肉价格非对称传导效应及其原因分析--基于近20年的时间序列数据[J].中国农村观察,2015(4):26-38,96.
[10]潘方卉,李翠霞.我国生猪价格非线性波动规律的实证研究--基于Markov区制转移模型[J].价格理论与实践,2014(2):84-86.
[11]刘秀云,申玉琢,王刚毅.外部冲击对仔猪价格的影响--以疫病为例[J].农业经济与管理,2017(6):80-87.
[12]宋连喜,綦颖.生猪市场价格周期性波动的原因分析与缓解对策[J].黑龙江畜牧兽医,2006(10):4-7.
[13]辛贤,谭向勇.中国生猪和猪肉价格波动因素测定[J].中国农村经济,1999(5):29-35.
[14]王洪丽,王军,郭庆海.吉林省生猪市场价格波动分析[J].畜牧与饲料科学,2010(5):77-80.
[15]胡向东,王明利.美国生猪生产和价格波动成因与启示[J].农业经济问题,2013,34(9):98-109,112.
[16]周发明,宾幕容.十年来湖南省生猪价格波动性分析[J].湖湘论坛,2014,27(1):75-78.
[17]王芳,陈俊安.中国养猪业价格波动的传导机制分析[J].中国农村经济,2009(7):31-41.
[18]李圣军.生猪及猪肉全产业链价格传递机制研究[J].经济问题,2013(2):62-67.
[19]何剑,孙鲁云.中国生猪市场的价格传导效应研究--基于仔猪与生猪价格的周数据分析[J].价格理论与实践,2016(8):105-108.
[20]郭利京,刘俊杰,赵瑾.生猪价格预期对仔猪价格形成的动态影响分析--基于行为经济学的视角[J].农村经济,2015(3):46-49.
[21]张喜才,张利庠,卞秋实.外部冲击对生猪产业链价格波动的影响及调控机制研究[J].农业技术经济,2012(7):22-31.
[22]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.
[23]Engle,Robert F.Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of U.K.Inflation[J].Econometrica,1982,50:987-1008.
[24]Bollerslev,Tim.Generalized Autoregressive Conditional Heteroskedasticity[J].Journal of Econmetrics,1986,31:307-327.
[25]Engle,Robert,David M.Lilien,etal.Estimating Time Varying Risk Premia in the Term Struture:The ARCH-MModel[J].Economertrica,1987,55:391-406.
[26]胡友,祁春节.基于HP滤波模型的农产品价格波动分析--以水果为列[J].华中农业大学学报:社会科学版,2014(4):57-61.
[27]简秀华.贵州喀斯特山区生猪健康养殖模式探讨[D].兰州:甘肃农业大学,2017.
[2]商迪,于路存,董谦,等.基于多元GARCH模型的猪肉价格与仔猪价格波动研究[J].黑龙江畜牧兽医,2017(20):40-43.
[3]郭志超,卫士加.特大型城市猪肉产销价格传导机制研究--基于北京市猪肉价格与外埠猪源地价格相关性分析[J].价格理论与实践,2017(10):72-75.
[4]张宇青,周应恒,易中懿.中国生猪出栏价格波动的非线性特征分析与预测[J].统计与决策,2015(1):141-143.
[5]吕东辉,杨祚,金春雨.基于MS-ARCH模型的我国生猪价格波动特征检验及其与CPI变动关联性分析[J].农业技术经济,2012(9):96-103.
[6]段海波,薛英俊.我国生猪市场价格波动特征与调控建议[J].价格理论与实践,2010(8):20-21.
[7]黎东升,刘小乐.我国生猪价格波动新特征--基于HP和BP滤波法的实证分析[J].农村经济,2015(6):52-55.
[8]罗千峰,张利庠.基于B-N分解法的我国生猪价格波动特征研究[J].农业技术经济,2018(7):93-106.
[9]董晓霞.中国生猪价格与猪肉价格非对称传导效应及其原因分析--基于近20年的时间序列数据[J].中国农村观察,2015(4):26-38,96.
[10]潘方卉,李翠霞.我国生猪价格非线性波动规律的实证研究--基于Markov区制转移模型[J].价格理论与实践,2014(2):84-86.
[11]刘秀云,申玉琢,王刚毅.外部冲击对仔猪价格的影响--以疫病为例[J].农业经济与管理,2017(6):80-87.
[12]宋连喜,綦颖.生猪市场价格周期性波动的原因分析与缓解对策[J].黑龙江畜牧兽医,2006(10):4-7.
[13]辛贤,谭向勇.中国生猪和猪肉价格波动因素测定[J].中国农村经济,1999(5):29-35.
[14]王洪丽,王军,郭庆海.吉林省生猪市场价格波动分析[J].畜牧与饲料科学,2010(5):77-80.
[15]胡向东,王明利.美国生猪生产和价格波动成因与启示[J].农业经济问题,2013,34(9):98-109,112.
[16]周发明,宾幕容.十年来湖南省生猪价格波动性分析[J].湖湘论坛,2014,27(1):75-78.
[17]王芳,陈俊安.中国养猪业价格波动的传导机制分析[J].中国农村经济,2009(7):31-41.
[18]李圣军.生猪及猪肉全产业链价格传递机制研究[J].经济问题,2013(2):62-67.
[19]何剑,孙鲁云.中国生猪市场的价格传导效应研究--基于仔猪与生猪价格的周数据分析[J].价格理论与实践,2016(8):105-108.
[20]郭利京,刘俊杰,赵瑾.生猪价格预期对仔猪价格形成的动态影响分析--基于行为经济学的视角[J].农村经济,2015(3):46-49.
[21]张喜才,张利庠,卞秋实.外部冲击对生猪产业链价格波动的影响及调控机制研究[J].农业技术经济,2012(7):22-31.
[22]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.
[23]Engle,Robert F.Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of U.K.Inflation[J].Econometrica,1982,50:987-1008.
[24]Bollerslev,Tim.Generalized Autoregressive Conditional Heteroskedasticity[J].Journal of Econmetrics,1986,31:307-327.
[25]Engle,Robert,David M.Lilien,etal.Estimating Time Varying Risk Premia in the Term Struture:The ARCH-MModel[J].Economertrica,1987,55:391-406.
[26]胡友,祁春节.基于HP滤波模型的农产品价格波动分析--以水果为列[J].华中农业大学学报:社会科学版,2014(4):57-61.
[27]简秀华.贵州喀斯特山区生猪健康养殖模式探讨[D].兰州:甘肃农业大学,2017.