非洲猪瘟疫情下中国猪肉价格波动性研究——基于ARCH族和BVAR模型  

Study on the Volatility of Pork Price in China under the African Swine Fever Epidemic——Based on ARCH Family and BVAR Model

作　　者：孙大岩 陈磊[1] 布仁门德[3] SUN Dayan;CHEN Lei;BU Renmende(School of Economics,Dongbei University of Finance and Economics,Dalian 116025;School of Economics,Inner Mongolia University for the Nationalities,Tongliao 028000;Rural Revitalization Research Base in Eastern Inner Mongolia,Tongliao 028000)

机构地区：[1]东北财经大学经济学院,大连116025 [2]内蒙古民族大学经济学院,通辽028000 [3]内蒙古东部乡村振兴研究基地,通辽028000

出　　处：《工程数学学报》2022年第4期545-558,共14页Chinese Journal of Engineering Mathematics

基　　金：国家社会科学基金(18XJL008,20MBZ116)。

摘　　要：2018年8月开始传入我国的非洲猪瘟疫情对我国的猪肉市场产生了持续性冲击,使得猪肉价格大幅度上涨,突破了历史最高值。选取2000年1月至2020年3月的月度数据,采用ARCH族模型研究了猪肉价格波动的集簇性、高风险高回报性和非对称性;使用贝叶斯VAR模型、脉冲响应和方差分解研究了玉米价格、城镇居民人均可支配收入、人民币兑美元汇率和猪疫情指数对猪肉价格的影响。得到的结论是猪肉价格条件方差存在波动“成群”现象;猪肉价格存在高风险高回报的特点;“利好消息”比“利空消息”能够带来更大的波动。玉米价格和汇率水平对猪肉价格有较强的正向影响,可支配收入对猪肉价格的正向影响作用较弱,而猪疫情对猪肉价格存在较强的负向影响。对于猪肉价格的波动贡献率从大到小依次是自身、汇率水平、城镇居民可支配收入、玉米价格和猪疫情指数。最后,提出了相应的解决对策。African swine fever, which began to be introduced to China in August 2018, has had a sustained impact on China’s pork market, causing pork prices to rise sharply, breaking through the highest historical value. By selecting monthly data from January 2001 to March 2020, and using the ARCH family model, the clustering, high risk, high return and asymmetry of pork price fluctuations. By using Bayesian VAR model, impulse response and variance decomposed,the impact of corn price, per capita disposable income of town residents, the exchange rate of RMB against the US dollar and the pig epidemic index on pork prices are studied. The conclusion is that the pork price conditional variance has volatility “cluster” phenomenon;pork price has the characteristics of high risk and high return;“good news” can bring greater fluctuations than “bad news”. Corn prices and exchange rate levels have a strong positive effect on pork prices, disposable income has a weak positive effect on pork prices, and a pig epidemic has a strong negative effect on pork prices. From the largest to the smallest, the contribution rate to the fluctuation of pork price is itself, the exchange rate level, the disposable income level of urban residents, the corn price and the pig epidemic index. Finally, the corresponding solutions are proposed.

关 键 词：猪肉价格 影响因素 ARCH族模型 BVAR模型 

分 类 号：F323.7[经济管理—产业经济]