基于VAR模型的我国生猪饲料价格影响因素研究  

Studying on Influence Factors of Hog Feed Prices in China Based on VAR Model

作　　者：孟娜[1] 许保光[1] 

机构地区：[1]中国科学院科技政策与管理科学研究所,北京100190

出　　处：《数理统计与管理》2011年第5期761-769,共9页Journal of Applied Statistics and Management

基　　金：科技部"十一五"国家科技支撑计划重点项目课题(课题编号:2008BADA0B01)

摘　　要：本文以向量自回归(VAR)模型为基础,运用在此基础上的Johansen协整检验、格兰杰因果检验、方差分解和脉冲响应分析等技术,综合考察了中美玉米期货市场和国内生猪市场对我国生猪饲料产业的价格发现和引导功能。研究发现:芝加哥玉米期货价格、大连玉米期货价格、国内生猪价格和生猪饲料价格之间存在着长期均衡关系,并且对饲料价格分析的总方差中来自于芝加哥玉米期货价格、大连玉米期货价格、国内生猪价格的部分分别为15.28%、11.99%和41.95%,三者的总贡献率达到了69.22%,说明三者对生猪饲料价格具有良好的价格发现和引导功能,而三者当中国内生猪价格的影响最大。进一步的脉冲响应分析也证明国内生猪价格在影响力度和影响时效上都强于两个玉米期货价格。Based on vector auto-regression model, this paper synthetically examines the price discovery and guiding function of Chinese and American corn futures and domestic hog market toward the hog feed industry in our country by using technologies such as Johansen cointegration test, Granger casualty test, variance decomposition, impulse responses analysis, and etc. The results suggest that there is a long term equilibrium relationship among the prices of CBOT corn futures, DCE corn futures, domestic hog and hog feed, and that the variance values from CBOT corn futures price, DCE corn futures price and domestic hog price are respectively 15.28%. 11.99% and 41.95%（total of them is up to 69.22%）.It demonstrates that the three factors above perform an important function of price discovery and guiding to the price of hog feed.

关 键 词：玉米期货 向量自回归模型 协整检验 格兰杰因果检验 方差分解 脉冲响应分析 

分 类 号：O212[理学—概率论与数理统计]