仿制药一致性评价政策对药品供应链上下游股价相依性的影响研究  

Effects of generic drugs consistency evaluation policy on the dependence of stock prices along the pharmaceutical supply chain

作　　者：刘俊杰 胡永宏[1] LIU Junjie;HU Yonghong(School of Statistics and Mathematics,Central University of Finance and Economics,Beijing 102206,China)

机构地区：[1]中央财经大学统计与数学学院,北京102206

出　　处：《系统工程理论与实践》2022年第2期423-436,共14页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金面上项目(61873254)。

摘　　要：药品供应链是保障药品供给的关键,分析其上下游股价的相依性既有助于把握供应链的运作情况,也可为医药行业投资提供参考.鉴于供应链上下游的地位存在有序性,可能导致股价的相依结构非对称,本文首先创新性地构建时变非对称copula模型,动态刻画药品供应链上下游股价的相依性,捕捉其间的相依方向,探讨股价冲击沿供应链的传导路径;其次,引入保序回归刻画仿制药一致性评价政策的推进对药品供应链上下游股价相依性逐步产生影响的过程.结果发现:药品供应链上游和中游、中游和下游股价的相依性时变特征明显,且上游和中游股价的相依方向多次转变;一致性评价政策对供应链上游和中游股价相依性的冲击较大,使其相依程度逐步下降,相依方向反转.Pharmaceutical supply chain plays an essential role in drugs supply.Analyzing the dependence pattern of stock prices along the pharmaceutical supply chain not only helps supply chain managers to understand the operation performance of supply chain,but also provides investors evidence on pharmaceutical investment.Since there is a natural order among different knots along the supply chain,which may account for the asymmetry in dependence structure,the study proposes an innovative method,timevarying asymmetric copula,to model the dependence structure and extract information on directions of dependence among stock prices along the pharmaceutical supply chain,which is crucial to grasping the transmission pathway of price shocks.Then the study employs isotonic regression to investigate how the policy of generic drugs consistency evaluation,a major pharmaceutical policy in China in recent years,affected the dependence among stock prices step by step.The empirical results indicate:The asymmetric dependence structures between stock prices of upstream and midstream,midstream and downstream along the supply chain shows evident time-varying properties,and it should be noted that the direction of dependence between prices of upstream and midstream changed several times with time goes by;the policy significantly affected the dependence structure between stock prices of upstream and midstream,which weakened the dependence gradually and reversed the dependence direction.

关 键 词：药品供应链 非对称性 相依方向 COPULA 保序回归 

分 类 号：F830.9[经济管理—金融学]