国际羊肉价格波动对中国羊肉价格的传导效应研究——基于VEC-TARCH模型  

Conduction effect of international mutton price fluctuation on China mutton price——Based on VEC-TARCH model

作　　者：韦敬楠 张立中[1] 张美艳[1] 白宇航[1] WEI Jingnan ZHANG Lizhong ZHANG Meiyan BAI Yuhang(College of Economics and Management, Beijing Forestry University, Beijing 100083, China)

机构地区：[1]北京林业大学经济管理学院,北京100083

出　　处：《黑龙江畜牧兽医（下半月）》2017年第10期31-35,39,共6页

基　　金：国家社会科学基金项目(11BJY097)

摘　　要：国际羊肉价格波动对中国羊肉价格有显著影响。为了弄清国际羊肉价格与中国羊肉价格之间的传导关系,笔者运用向量误差修正模型(VEC)及非对称条件异方差模型(TARCH)实证分析国际羊肉价格波动对中国羊肉价格的传导效应。结果表明:1)国际羊肉价格与中国羊肉价格存在长期均衡关系,国际羊肉价格波动会传递给中国羊肉价格并且传递时滞为1年;格兰杰(Granger)因果关系检验得知国际羊肉价格波动是中国羊肉价格波动的成因,反之则不成立;脉冲响应图显示,国际羊肉价格对中国羊肉价格产生显著冲击响应,反之中国羊肉价格对国际羊肉价格冲击响应不显著。2)当国际羊肉价格上涨时,中国羊肉价格上涨程度大于国际羊肉价格上涨程度;当国际羊肉价格下跌时,中国羊肉价格下跌程度要小于国际羊肉价格引发中国羊肉价格上涨程度。Fluctuation of international mutton prices has a significant impact on mutton price in China. To find out the transmission relationship between international mutton price and Chinese mutton price,the conduction effect of international mutton price fluctuation on Chinese mutton price was analyzed empirically using vector error correction model（ VEC） and asymmetric conditional heteroscedastic model（ TARCH）. The results are：（ 1） There is a long-term equilibrium relationship between international mutton price and Chinese mutton price,the fluctuation of international mutton price will be passed to the Chinese mutton price and delivery delayed for one year; Granger causality test confirmed that international mutton price fluctuation is the cause of Chinese mutton price fluctuation,and not vice versa. According to the impulse response figure,international mutton price has a significant impact response on Chinese mutton price,on the contrary,there is no significant response of Chinese mutton price on international mutton price.（ 2） When the international mutton price rise,the rising degree of Chinese mutton price is higher than that of international mutton price,while when the international mutton price declined,the drop degree of Chinese mutton price is far less than that of international price.

关 键 词：羊肉价格 传导效应 VEC-TARCH模型 价格波动 实证研究 

分 类 号：F307.3[经济管理—产业经济] S879.2[农业科学—畜牧兽医]