饲料研究2024，Vol.47Issue(12)：180-185,6.DOI:10.13557/j.cnki.issn1002-2813.2024.12.032
外部不确定性对生猪价格的分位异质性影响研究
Study on quantile heterogeneity effect of external uncertainty on pig price
摘要
Abstract
Hurst index of pig price indicates that due to unexpected events,there is a turning point in the partial correlation of the price series,and the trend of price fluctuation will be reversed.Using the grey correlation-entropy weight method to calculate external uncertainty indicator,starting from nonlinear and asymmetric perspectives,based on monthly data from February 2009 to May 2023,a quantile regression model is constructed to study the heterogeneity effect of different degrees of external uncertainty on pig price.The results indicated that external uncertainty had a heterogeneous and persistent impact on pig price,and the impact effect varies with different quantiles,with positive and negative effects.QR showed that this impact had an'inverted U-shaped'nonlinear threshold effect,and only when the uncertainty level exceeds the threshold value(when q=0.6,the EP coefficient is 4.767)does it had a significant positive effect on the fluctuation of pig price.The QQR model indicated that there was also a significant asymmetry in this impact,which was caused by the superposition effect of endogenous driving and external shock from supply and demand factors.The above research indicates that in order to improve the sensitivity of pig market,threshold value can be used as a reference value for major emergency warning.关键词
分位数回归模型/生猪价格/外部不确定性/异质性效应/倒U型Key words
quantile regression model/pig price/external uncertainty/heterogeneity effect/inverted U shape分类
农业科技引用本文复制引用
付莲莲,廖静萍,徐紫瑞,翁贞林..外部不确定性对生猪价格的分位异质性影响研究[J].饲料研究,2024,47(12):180-185,6.基金项目
国家自然科学基金(项目编号:71963019、72363019) （项目编号:71963019、72363019）
