生猪价格与母猪价格异向波动的识别与实证

Recognition and Empirical Research on the Reverse Fluctuation between Hog Price and Sow Price

为研究超常波动区间生猪价格与母猪价格(生猪价格为全国三元生猪价格,母猪价格为全国二元母猪价格)的波动关系,确定两者是否存在异向波动,本文首先引入异步系数,对数据进行基本统计分析,并通过波动幅度将价格波动划分为正常波动与超常波动;再通过互谱分析和时间序列分析进行实证。结果表明:生猪价格与母猪价格的波动密切相关,且生猪价格波动略微领先于母猪价格波动;超常波动区间下,生猪价格与母猪价格的异向波动确实存在,且异步系数稍高于正常波动区间;异向波动可以看作是生猪价格超常波动的一个表征和警兆。

To study the relationship between pig price and sow price under the abnormal fluctuation range, and determine whether there is any reverse fluctuation, first, we recognit reverse fluctuation by asynchronous coefficien, and divid the sample interval into normal fluctuation and abnormal fluctuation according to amplitude; then we make empirical analysis through Cross-spectrum Analysis and Time Series Analysis. The study shows that the hog price is closely related to the sow price, and the fluctuation of the hog price is slightly ahead of sow prices fluctuation in the time; there is a reverse fluctuation between hog price and sow price under the abnormal fluctuation range, and the asynchronous coefficient is slightly higher than the normal fluctuation range; the reverse fluctuation can be seen as a representation and warning of abnormal fluctuations.