生猪价格风险责任分担:基于EEMD的分解

Risk Sharing of the Hog Price Index Insurance:Based on EEMD Price Decomposition

本文基于集成经验模态分解方法(EEMD)对生猪价格序列进行分解,得到5个独立的、不同周期的本征模态分量(IMF)和趋势项,识别出生猪价格序列在不同周期下的波动特征,并考察不同价格周期背后的驱动力,这对当前生猪价格风险责任分担有丰富的启示。生猪价格趋势项由生猪产业内部决定,可为生猪价格指数保险设计提供科学参考。市场短期波动决定了较短的价格周期项,这可由市场化的生猪价格指数保险来保障风险,无需政府干预。但是较长周期的价格风险较大,无法完全通过商业性保险手段解决,应由政府出面给予支持来进行价格风险托底。

In this paper,we tried to utilize Ensemble Empirical Mode Decomposition （EEMD） to decompose hog price series to obtain five independent and different cycle components and the trend of the Intrinsic Mode Function （IMF） ,in order to extract the fluctuation characteristics of hog price series under different cycles, and analyze the driving forces behind different price cycles. This was highly indicative for the hog price risk sharing. The hog price trend was determined by the hog industry internally, which could provide scientific reference for the design of hog price index insurance. Short-term market fluctuations determined a shorter price cycle,which should be covered by market-based hog price index insurance without government intervention. The long-term price risk was too large to be solved completely through commercial insurance, therefore government should give support to lock up the downside of price risk.