中国生猪价格与猪肉价格非对称传导效应研究——基于VEC-TARCH模型  

Research on Asymmetric Conduction Effect between China's Hog Price and Pork Price——based on VEC-TARCH model

作　　者：韦敬楠 张立中[1] 张美艳[1] 

机构地区：[1]北京林业大学经济管理学院,北京100083

出　　处：《价格月刊》2017年第4期28-32,共5页

基　　金：国家社科基金项目(编号:11BJY097)資助

摘　　要：猪肉价格剧烈波动对城乡居民肉类消费产生了显著影响。为了弄清中国生猪价格与猪肉价格非对称传导效应,运用向量误差修正模型(VEC)实证分析了中国生猪价格与猪肉价格传导关系。结果表明:中国生猪价格与猪肉价格存在长期均衡正向关系,猪肉价格调控难度增大。非对称条件异方差模型(TARCH)实证分析结果显示:中国生猪价格与猪肉价格之间的传导具有双向非对称性特征,其原因是生猪价格和猪肉价格在传导过程中受到了产业链利益相关者议价能力差异、生猪供给与猪肉消费均衡的滞后性影响。The large wave in pork price had a significant impact on urban and rural meat consumption. In order to clear the asymmetric conduction effect between China＇s hog price and pork price, this paper uses VEC to take an empirical analysis of the conduction relationship between China＇ s hog price and pork price. The results show that there is a long run balanced positive relationship between China＇s hog price and pork price, and the adjustment difficulty of pork price increases. The TARCH results reveal that the conduction has bidirectional asymmetry characteristic between China＇s hog price and pork price, which is resulted from price bargaining ability of the stakeholders and the lagged impact of balance between hog supply and pork consumption during the conduction process.

关 键 词：生猪价格 猪肉价格 非对称性 传导关系 VEC-TARCH模型 

分 类 号：F304.2[经济管理—产业经济]