中国四大肉类产品之间是否存在价格联系

Are There Any Price Links among Four Major Meat Products in China?

中国四大肉类产品之间是否存在价格联系？本文通过协整分析方法和向量误差修正模型（VECM）来识别四大肉类产品市场之间的价格联系。研究结果显示,在控制了收入水平和货币供给的变化后,四大肉类产品价格之间存在长期均衡关系,当短期出现偏离时,鸡肉价格在该价格系统里表现为弱外生,牛肉和羊肉具有负反馈系统,能够回归长期均衡,但是猪肉价格缺乏负向反馈调节。本文还进一步应用动态条件相关DCC-GARCH模型来讨论四大肉类产品市场之间的波动溢出性。结果发现,四大肉类产品之间在波动层面上呈现出较为明显的动态相关关系,牛羊肉间的波动联系最大,猪肉与牛羊肉价格间的联系次之,鸡肉与其他肉类价格的波动联系最小。这意味着稳定猪肉供给既有利于猪肉价格稳定,对于牛羊肉价格稳定有着较强的溢出效果,肉类产品价格宏观调控需要通盘考量。

Are there any price links among four major meat products in China？ In this paper,we try to identify the links by applying cointegration analysis method and vector error correction model（ VECM）. The results show that there is a long-term equilibrium relationship among the prices of the four staple meat products when controlling for income levels and the changes of the money supply,which constitute a price system. When there is a deviation from the short-term,chicken price is weakly exogenous in the price system. Beef and mutton price have negative feedback mechanism,which can return to long-term equilibrium. However,pork price lacks negative feedback mechanism. This paper also discusses the volatility spillovers among the four major meat product markets by DCC-GARCH method. We find that there is a clear dynamic correlation between the four meat products on the volatility level. The closest link exists between beef and mutton price,and the following is the link between pork and mutton（ beef） price. The chicken price is least correlated with other meat prices,which means that the stable supply of pork is conducive to the stable price of pork and has a strong spillover effect on the stable price of beef and mutton.The macro-control of the price of meat products requires comprehensive consideration.