中国草食畜产品贸易波动及不确定性冲击

On Fluctuation and Its Uncertainty Shock of Herbivorous Livestock Trade Products in China——Based on Cattle,Sheep,Goat Products on MS-VAR Model

基于1995年12月至2015年12月中国草食畜产品进出口贸易及不确定性数据,借助马尔科夫转换向量自回归(MS-VAR)模型,考察贸易市场波动的状态转换特征,并测定不确定性冲击影响。研究结果表明:(1)草食畜产品进出口贸易市场在三种状态下进行转换。牛产品市场在2009年之前存在频繁状态转换特征,之后一直在不确定性冲击更大的状态3运行;羊产品市场在2005年之前存在频繁状态转换现象,之后主要在状态3运行。(2)草食畜产品贸易市场不同状态的相互转换概率较低,说明市场存在平滑性,外部作用是状态转换的主要原因。(3)不确定性对草食畜产品贸易市场冲击作用大,持续时间长,且具有非对称性。草食畜产品贸易市场受不确定性冲击持续时间一般在半年以上;不同市场状态下,不确定性对进出口量的作用方向存在明显差异。

Using import and export quantity and prices of major herbivorous livestock products, and the economic policy uncertainty index from December 1995 to December 2015, this paper establishes three regimes with Markov Switching Vector Autoregressive Model to analyze the fluctuation characteristics, and study its effect of uncertainty shock in China. The results show that the herbivorous livestock products trade markets have regime switching effect, which changes in three regimes frequently. Besides, the cattle markets changes more frequently before 2009, while in regime 3 which affected more drastically by uncertainty after 2009. For the sheep and goat markets, it changes more frequently before 2005. From then on, it remains at regime 3. Moreover, the inter-transition probability in different regimes is low. It indicates those two herbivorous livestock products trade markets is smooth, and the regime switching effect are come from external shocks. Finally, the impact of uncertainty is heavy, long and asymmetric. The duration of uncertainty shock is more than six months, and the orientation of the influence is various in different regimes.