中国生猪价格波动影响因素协整分析——基于非结构突变与结构突变分析的比较  

Cointegration Analysis of Influencing Factors on Fluctuation in China's Hog Price——Comparison between Cointegration and Stucture- change Cointegration

作　　者：彭代彦[1] 喻志利 

机构地区：[1]华中科技大学经济学院,湖北武汉430074

出　　处：《价格月刊》2015年第9期23-28,共6页

摘　　要：利用2001年1月~2013年12月的月度时间序列数据,采用变结构协整方法对生猪价格及其影响因素之间的关系进行实证分析。结果表明,生猪价格与饲料价格、活鸡价格和居民收入间存在长期协整关系,但该协整关系在2008年12月份发生了结构突变。滞后1期的生猪价格及饲料价格变动对生猪价格波动的影响较大,替代品价格及收入对生猪价格波动的影响相对较小,说明我国生猪价格的波动主要由供给因素引起。The present article exploits the empirical relationship between hog prices and its possible influencing factors with structure-change cointegration method by employing the monthly time series data during January 2001 to December 2013. The result shows that there is a long-term cointegration relationship between hog prices and fodder prices, live chicken prices and household income, while a structural change took place in December 2008.The variations of fodder prices and one step lagged prices of hog have a larger impact on the fluctuation in hog price, and prices of substitution goods and household incomes have a less one on that, which demonstrates that the fluctuation of hog prices in China is mainly caused by factors on the supply side.

关 键 词：生猪价格 饲料价格 活鸡价格 居民收入 变结构协整 

分 类 号：F726[经济管理—产业经济]