中国畜牧杂志2018，Vol.54Issue(4)：121-126,6.DOI:10.19556/j.0258-7033.2018-04-121
生猪价格波动的非对称分析——基于Markov区制转移VAR模型
Asymmetric Analysis of Hog Prices Fluctuation-Based on Markov VAR Regression
摘要
Abstract
Based on the monthly data of hog prices from January 2000 to June 2017,the paper selected the main factors affecting the hog price fluctuation and established the MSIAH (3)-VAR (2) model to analyze the fluctuation of hog prices in different regimes.Then,forecast future hog prices.The empirical results show that:① piglet pork and beef prices are significant factors affecting hog price.In different states,there is heterogeneity on the impact of hog prices.Pork price is all significant in the three regimes,but piglet price is significant only in the "price decline state".The price of beef is significant in the "price rise state".②Hog prices are located in the "price stability" zone system of the highest frequency,reaching 0.5529,and the three zone system has a high degree of stability.The probability of system 1 transferring to 3 and district system 3 transferring to 1 is 0.104 6 and 0.060 0 respectively,and the probability of district system 2 transferring to 3 and dist rictsystem 3 transferring to 2 is 0.107 9 and 0.431 5.The transfer between different regimes has significant asymmetry.③The trend of hog prices in the second half of 2017 is forecasted,the probability of the price shifting from the "price drop" state to the "price stability" state remarkably increases,which is more consistent with the actual situation.关键词
生猪价格/MS-VAR模型/影响因素/非对称/价格预测Key words
Hog price/MS-VAR model/Influencing factors/Asymmetry/Price forecast分类
管理科学引用本文复制引用
付莲莲,杨娜,张志伟..生猪价格波动的非对称分析——基于Markov区制转移VAR模型[J].中国畜牧杂志,2018,54(4):121-126,6.基金项目
国家自然科学基金(71561014、71461019) （71561014、71461019）
江西省社会科学规划项目(16YJ34) （16YJ34）
江西省教育厅科学技术项目(GJJ160410) （GJJ160410）
江西高校人文社会科学基金(GL162014) （GL162014）
