我国生猪饲料市场价格波动特征分析——基于产业链视角  

Empirical Study on the Price Fluctuation Features in China Hog Feed Market——From the Perspective of Industrial Chain

作　　者：曹先磊[1] 张颖[1] CAO Xianlei ZHANG Ying

机构地区：[1]北京林业大学经济管理学院,北京100083

出　　处：《华中农业大学学报（社会科学版）》2017年第1期55-63,共9页Journal of Huazhong Agricultural University(Social Sciences Edition)

基　　金：国家社会科学基金重点项目"我国西部林业生态建设政策评价与体系完善研究"(11&ZD042);内蒙古扎兰屯市项目"森林资源综合效益评估及环境资产负债表编制研究"(2014HXZXJGXY025)

摘　　要：为系统揭示我国生猪饲料市场价格风险与特征,在可储存商品市场理性预期的假设下,基于产业链视角建立扩展的GARCH簇实证模型,运用2000-2015年月度价格统计数据,分析了我国生猪饲料市场价格波动的主要特征。结果显示:我国生猪饲料市场价格波动具有显著的ARCH效应和非对称性,价格上涨信息引起的生猪饲料市场价格波动大于下跌信息引起的价格波动;我国生猪饲料市场并不具有高风险、高回报的特征,该市场的多数交易者在做决策时非理性因素大于理性因素;在产业链上下游产品中,玉米价格收益率显著影响了生猪饲料市场价格的波动性。为此,未来我国应从产业链视角进一步完善包括玉米价格在内的生猪饲料价格波动的预警系统;提高对饲料价格上涨及驱动因素的关注度和警惕性,并不断完善生猪饲料市场,引导饲料市场相关主体理性投资与决策。To reveal the price risk of the hog feed market in china and its features,the expanding GARCH-type model was established from the perspective of industrial chain under the market rational expectations hypothesis of storable commodity.The price fluctuation features were quantitatively analyzed by using the monthly price data from 2000to2015.The study showed that the ARCH effect and asymmetry were obvious;the impact of increasing price on the price volatility was bigger than that brought by price falling.However,the market didn＇t show the characteristic of high risk and high return and most traders were influenced by irrational factors more than rational factors when making decisions.In addition,corn prices rising in upstream industry chain significantly contributed to the volatility of the hog feed market.Therefore,the study concluded that price early warning system in hog feed market,including the supervision of volatility of corn price,should be improved from the perspective of industrial chain in future;the alertness to the phenomenon of price rising and corresponding reasons should also be strengthened;further improvement of hog feed market was necessary so as to guide rational investment and decisions

关 键 词：生猪饲料 价格风险 GARCH簇模型 产业链 玉米 

分 类 号：F307.3[经济管理—产业经济]