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

Study on the Price Transmission of Hog Market in China——Based on the analysis of the weekly data of the piglet price and hog price

基于2010年1月-2016年6月我国仔猪价格与生猪价格的周度数据,采用门限协整分析模型和非对称误差修正模型,对仔猪价格与生猪价格之间的门限协整关系以及非对称传导效应进行了检验。结果表明,我国仔猪价格与生猪价格之间存在长期的均衡关系,且存在门限效应,但价格传导过程中的非对称性表现较弱。生猪产业链上游与中游的价格传导存在一定的分布滞后非对称效应和累积非对称效应。生猪养殖场对仔猪价格上升的反应相对敏感和快速,而种猪场对生猪价格的正向偏离与负向偏离响应速度相同。

Based on weekly price data from January 2010 to June 2016,threshold cointegration and an asymmetric error correction model are used to analyze the threshold cointegration relationship and price transmission between hog price and piglet price in China.A total of four threshold cointegration models are entertained in this study.The results show that there is a long-term equilibrium relationship between the piglet price and the hog price in China,and there is a threshold effect.The asymmetric price transmission exists but the degree of asymmetry is weak.There are some distributed lag asymmetric effect and cumulative asymmetric effect between the piglet price and the hog price.The reaction of pig farms on the rising price of piglets is relatively sensitive and fast,while the response speed of pig breeding farms on the positive deviation and negative deviation of hog prices is same.