生猪价格波动特征及影响事件的混合分析模型与实证  

A hybrid analysis model for fluctuation characteristics and influence events of live pig price and an empirical study

作　　者：吴登生[1] 李建平[1] 汤铃[1,2] 邓若鸿[1] 杨晓光[3] 

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 [2]中国科学院研究生院,北京100049 [3]中国科学院数学与系统科学研究院,北京100190

出　　处：《系统工程理论与实践》2011年第11期2033-2042,共10页Systems Engineering-Theory & Practice

基　　金：十一五国家科技支撑计划(2008BADA0B01);国家自然科学基金(70531040)

摘　　要：探索生猪价格波动特征,特别是把握其内在波动规律、研究外部事件对其产生的影响,对于规避生猪养殖风险,促进生猪产业的健康发展有着重要意义.在分析生猪产业规律的基础上,提出了生猪价格波动特征及影响事件的混合分析模型.利用经验模态分解算法(EMD)对我国生猪价格进行多尺度特征分解,并对各个特征模态进行统计分析,把握生猪价格波动规律;采用ISCC、Chow检验等结构变点分析算法对各个特征模态进行结构变点检验,将结构变点检验结果与生猪产业重要外部事件进行对比,总结各类外部事件对生猪价格各模态特征的影响.采用全国畜牧总站等机构收集的2000年1月-2009年5月我国生猪价格数据作为样本进行实证分析,研究结果表明我国生猪价格主要由长期趋势模态、17个月为尺度的经济周期模态、51个月为尺度的养殖周期模态,以及短期自调周期模态等四个模态构成,其中长期趋势模态和经济周期模态为主要模态、生猪疫情、自然灾害、政府宏观调控等外部事件只对我国生猪价格的养殖周期模态与短期自调周期模态有影响,而对长期趋势模态、经济周期模态影响不大.Researching the internal fluctuation characteristics of live pig price and the effects of external events on live pig price might be propitious to avoid market risks and then promote the development of live pig industry in China. Based on Empirical Mode Decomposition （EMD）, Iterated Cumulative Sum of Squares （ICSS） and Chow test, a hybrid analysis model is established for explore the fluctuation characteristics and influence events of live pig price. For the first time, the EMD is applied to decompose the time series of live pig price. Meanwhile, ICSS and Chow test are adopted to detect variance changes of live pig prices and further investigate the effects of external events to the fluctuation of live pig prices. The experiment is carried out using a dataset of live pig price from National Husbandry and Veterinary Service. The empirical results have shown that there are one trend and three main modes lying in live pig price including an economy mode with 17-months cycles, a pig farming mode with 51-months cycles and a short-term adjustion mode. The trend mode and the economy mode are the domain modes. The results also indicate that external events such as pig disease, natural disaster and government＇s macro-control have a significant influence on only the pig farming mode and the short-term adjustion mode, and have little influence on the trend mode and the economy mode.

关 键 词：生猪价格 波动特征 结构变点 经验模态分解 ICSS算法 CHOW检验 

分 类 号：F724.782[经济管理—产业经济]