农业现代化研究2024，Vol.45Issue(1)：137-149,13.DOI:10.13872/j.1000-0275-2024.0012
中国中部生猪市场间的价格网络联动及溢出效应
The price network linkage and the spillover effects among hog markets in central China:Based on asymmetric and time varying perspectives
摘要
Abstract
With the reduction of long-distance transportation of hogs since the outbreak of African swine fever,the risk transmission of hog price has been more concentrated within the region.Based on a daily data of the prices of outer ternary hogs in six central provinces with concentrated hog production capacity from January 1,2016 to June 21,2022,and applying the BEKK-GARCH model and the DY spillover index from the perspective of asymmetry time-varying,this paper explored the price network linkage and the spillover effects among hog markets of various provinces in the region.Results show that there are significant spillover effects among the hog markets in the six provinces of China,with high levels of spillover in overall yield and volatility,64.2%and 55.7%,respectively.The spillover effects among different hog markets are asymmetric,manifested as follows:hog markets in Henan,Hubei,and Shanxi being net exporters of yield spillovers,while the other three provinces being net recipients.Hubei,Hunan,and Shanxi are the net exporters of volatility spillovers,while the remaining three provinces are the net recipients.The yield and volatility of the hog market in six provinces have significant"inverted U-shaped"cyclical changes and time-varying characteristics,and both will drop sharply in a short period when encountering the impact of major events such as African swine fever.Based on the above results,this paper suggests that the relevant government departments should attach great importance to the asymmetric transmission of the risk of fluctuations in hog prices among regional provinces,timely carry out policy regulation in the occurrence of sudden epidemics,and promote the coordinated development of the hog industry in the region.关键词
生猪市场/价格网络联动/溢出效应/非洲猪瘟/非对称时变Key words
hog markets/price network linkage/spillover effects/African swine fever/asymmetric time-varying分类
管理科学引用本文复制引用
付莲莲,袁冬宇,滕佳敏..中国中部生猪市场间的价格网络联动及溢出效应[J].农业现代化研究,2024,45(1):137-149,13.基金项目
国家自然科学基金项目(72363019,71963019) （72363019,71963019）
江西省高等学校教学研究课题(JXJG-22-3-24). National Natural Science Foundation of China(72363019,71963019) （JXJG-22-3-24）
Research Topic on Teaching in Higher Education Institutions in Jiangxi Province(JXJG-22-3-24). （JXJG-22-3-24）
