生猪价格的周期波动与成分结构  

The Periodic Fluctuation and the Component Structure of Hog Price

作　　者：张敏[1,2] ZHANG Min(School of Economics and Trade,Hunan University,Changsha 410006,China;School of Economics and Trade,Hunan University of Commerce,Changsha 410205,China)

机构地区：[1]湖南大学经济与贸易学院,长沙410006 [2]湖南商学院经济与贸易学院,长沙410205

出　　处：《云南财经大学学报》2018年第11期101-112,共12页Journal of Yunnan University of Finance and Economics

基　　金：国家社会科学基金一般项目"生猪价格波动的非线性动态特征及平抑机制研究"(11BJY117)

摘　　要：基于2003年1月至2017年4月实际生猪价格月度数据,运用B-N分解法将生猪价格时间序列进行成分分解,并据此对生猪价格周期进行识别和生猪价格的成分结构进行分析。在此基础上,基于脉冲响应给出的度量指标和方差比刻画了随机冲击对生猪价格波动的持久性效应。结果显示:(1)样本期内共形成了4个完整的周期,平均周期长度大约为40个月;(2)生猪价格主要是由确定性趋势成分和随机性趋势成分构成,周期成分对生猪价格作用很小,生猪价格呈现出明显随时间递增的"刚性上涨"的确定性趋势;(3)以生猪疫病和产业政策为主的随机冲击是生猪价格周期形成的重要引致因素。外部随机冲击对生猪价格波动的强持久效应以及各个外部冲击在不同周期的叠加效应,致使生猪价格波动呈现出一长一短两个周期的交替出现、大周期内包含小周期的周期波动特征,是导致生猪价格周期波动深层次的内在成因。Based on the monthly data of hog prices from January 2003 to April 2017, B - N decomposition method is used to decompose the time series of hog prices, and then the hog price cycle is identified and the component structure of hog price is analyzed. Based on this, the persis- tent effects of random shocks on hog price are described upon the measurement index given by im- pulse response and variance ratio. The result shows： （1） A total of 4 complete cycles are formed during the sample period, with an average cycle length of about 40 months. （2） Hog price is mainly composed of deterministic trend component and stochastic trend component. Furthermore, period component has little effect on hog price, and the hog price shows a definite trend of ＂rigid growth＂ with increasing time. （3） The stochastic impact, mainly including pig epidemic disease and industrial policy, is the important factor leading to the formation of hog price cycle. The strong lasting effect of the external random impact on the hog price and the accumulation effect of different external impact in different periods make the hog price fluctuation to show the periodic fluctuation feature that a long and a short period alternate with each other, and a small cycle is included in a large cycle, which is the intrinsic reason that causes the fluctuation cycle of hog price.

关 键 词：生猪价格 B-N分解 趋势成分 随机冲击 持久性效应 

分 类 号：F326.2[经济管理—产业经济]