中国猪肉与饲料市场价格传导机制与特征——基于非对称误差修正模型

Price Transmission Mechanism and Characteristics of Pork and Feed Market in China——Based on the Asymmetric Error Correction Model

基于2000-2015年猪肉价格与育肥猪配合饲料价格的月度数据,运用非对称误差修正模型、脉冲响应函数等对猪肉与饲料市场间的价格传导机制进行了研究。结果表明,猪肉价格与饲料价格之间存在长期均衡关系;短期内,猪肉价格与饲料价格协整系统具有反向修正机制,价格波动的影响存在滞后效应,且价格传导具有显著的非对称性;脉冲响应函数与方差分解结果进一步验证了猪肉与饲料产业间的关联特征。信息不对称、市场力量以及成本控制方面的问题是导致非对称传导的主要原因。

Using the monthly data between 2000 and 2015, this study applies asymmetric error correction model and impulse response function to investigate the price transmission between pork and feed. Results show that there is a long-term equilibrium relationship between pork price and feed price; in the short run, a reverse correction mechanism was detected in the cointegration system, as well as a lagged and significantly asymmetric price transmission effect. The cointegration between pork price and feed price was further confirmed using the impulse response function and variance decomposition. Further investigation indicated that the asymmetric transmission is mainly attributed to information asymmetry, market power and cost control.