农业技术经济Issue(5)：20-49,30.
生猪产业链价格泡沫传染效应及机制研究
Contagion Effect of Price Bubbles of Hog Industrial Chain and Its Mechanism:From the Perspective of Extreme Price Spillover
摘要
Abstract
This paper constructs a"bubble agglomeration—extreme price spillover"analytical framework for price bubble contagion of agricultural products industrial chain.Taking the hog industrial chain as an example,the bubble contagion test and mechanism analysis are car-ried out under the condition of the asymmetry of positive and negative bubbles.The results show that:(1)Price bubbles of different degrees are present in all varieties of the hog industrial chain which shows obvious characteristics of bubble agglomeration.(2)Compared with that in the normal state,the price spillover effect of the industrial chain in extreme states increase significantly and is asymmetric between left and right tails.(3)There is a significant positive correlation between bub-ble agglomeration and extreme price spillover.Positive bubble agglomeration and negative bubble agglomeration promote extreme-rising price spillover and extreme-falling price spillover respec-tively.(4)There are widespread bubble contagion phenomena in the hog industrial chain which are locally prominent in the upstream and middle and downstream respectively.Besides,the conta-gion effect of negative bubbles is stronger than that of positive bubbles.The mechanism test shows that the bubble contagion effect in high uncertainty environment is stronger than that in low uncer-tainty environment.Negative bubble contagion is more prominent when investor sentiment is low,while positive bubble contagion is more significant when investor sentiment is high or during the downturn stage of the stock market.Further analysis reveals that the reform of price support policy has a restraining effect on bubble contagion,and the listing of hog futures has weakened negative bubble contagion but exacerbated positive bubble contagion.African swine fever and Sino-US trade friction has exacerbated and restrained extreme-falling price spillover respectively,neither of which has a significant impact on bubble contagion.The COVID-19 has significantly exacerbated negative bubble contagion.关键词
农产品/产业链/价格泡沫/泡沫传染/极端价格溢出Key words
Agricultural products/Industrial chain/Price bubbles/Bubble contagion/Ex-treme price spillover引用本文复制引用
刘璐,龚歆越,张帮正..生猪产业链价格泡沫传染效应及机制研究[J].农业技术经济,2025,(5):20-49,30.基金项目
国家社会科学基金项目"新形势下国际大宗农产品金融化及其对我国粮食供需平衡的影响研究"(编号:19CJY043),教育部人文社会科学基金项目"多源数据环境下基于深度学习的大宗农产品期货价格波动与风险管理研究"(编号:21XJC790014) （编号:19CJY043）
