多尺度视角下生猪价格波动特征及调控政策的混合分析模型及实证

A Hybrid Analysis Model and an Empirical Study on Fluctuation Characteristics and Regulatory Policies of Hog Price under a Multi-scale Perspective

近年来,我国生猪价格波动剧烈,严重影响从养殖到零售的整条产业链。为此,国家相继出台了一系列针对生猪市场的调控政策,旨在平抑生猪价格的超常波动,促进生猪市场健康发展。本文运用集合经验模态分解技术对生猪价格进行多尺度分解,并将分解后的特征模态进行重组,深入了解其波动特征。更进一步,综合运用Bai-Perron结构突变检验法与事件分析法,从多尺度视角分析调控政策对生猪价格的影响。结果表明:我国生猪价格主要由生猪市场短期供需不均衡导致的高频分量、重大事件导致的低频分量、经济基本面决定的趋势分量等三个分量组成,其中趋势分量和低频分量为主要分量。生猪市场调控政策主要影响生猪价格的低频分量,而对趋势分量和高频分量影响不大。

In recent years,the extraordinary fluctuations of hog price in China have seriously influenced the entire hog industry chain from farming to retailing.To this end,government issued a series of regulatory policies for the hog market,aiming at restraining the extraordinary fluctuations of hog price and promoting the healthy development of hog industry.In this paper,the multi-scale decomposition of hog prices is performed through a set of empirical mode decomposition techniques,and the decomposed eigenmodes are reorganized to further understand their fluctuation characteristics.Furthermore,the Bai-Perron structural break test and event analysis method are adopted to investigate the effect of regulatory policies on hog price under the multi-scale perspective.The empirical results indicated that the hog price series consist of the high fluctuation component caused by the short disequilibrium of supply and demand in hog market,low fluctuation component caused by the important events,trend component determined by the economics environment.In addition,the long-term trend and low frequency fluctuation component are the domain components.The results also indicated that the regulatory policies on hog market mainly influenced the low fluctuation component,and have limited effects on the trend and high fluctuation components.