我国生猪纵向产业链市场的价格传导效应研究——基于门限模型的周度数据分析

Research on price transmission effect of China’s pork industry chain--Analysis of weekly data based on threshold model

为了降低各环节之间的交易成本和共担节点受到外部冲击的风险,保障生猪产业链价格体系稳定,研究从生猪纵向产业链视角出发,选取我国2006年7月份—2019年10月份生猪产业链上市场价格周度数据,基于协整理论拓展的两机制门限自回归模型(TAR模型)、持续门限自回归模型(C-TAR模型)、冲量门限自回归模型(M-TAR模型)和持续冲量门限自回归模型(C-MTAR模型)四种门限自回归模型深入剖析产业链上中下游玉米与生猪、仔猪与生猪、猪肉与生猪之间的价格传导机制。结果表明:我国生猪产业链上价格传导均存在非线性门限效应,各环节价格传导在门限值划分的机制下呈现差异化的均衡调整。玉米-生猪、仔猪-生猪和猪肉-生猪市场间价格传导均存在较强的非对称性,即生猪价格对“利好”消息比“利空”消息反应更快,而猪肉价格对“利空”消息比“利好”消息反应更快。

In order to reduce the transaction costs between various links and share the risk of external impacts on nodes,to ensure the stability of the price system of the pig industry chain,from the perspective of the vertical industrial chain of live pigs,the weekly data of market prices in China’s live pig industry chain from July 2006 to October 2019 were chosen to analyze the price transmission mechanism between the corn and pigs,the pigs and piglets,and the pork and pigs in the middle and lower reaches of the industrial chain based on a two-mechanism threshold autoregressive model(TAR model),continuous threshold autoregressive model(C-TAR model),impulse threshold autoregressive model(MTAR model)and continuous impulse threshold autoregressive model(C-MTAR model).The results showed that there was a nonlinear threshold effect in the price transmission of the pig industry chain in my country,and the price transmission of each link presents a differentiated equilibrium adjustment under the mechanism of threshold division.There was a strong asymmetry in the price transmission between corn-live pig,piglet-live pig and live pig-pork pig market,that is,the price of live pig reacts more quickly to“good”news than“bad”news,while pork price“bad”news reacts faster than“good”news.