中国生猪价格国际传导中的溢出效应研究

应用月度数据考察仔猪、活猪、猪肉价格与国际猪肉价格之间的动态关系。研究表明:国内价格和国际价格之间具有较强的动态相关性;国际价格对国内价格有均值溢出,当前一期国际价格上升1%时,当期3种猪产品价格上升0.04%~0.11%,但国内价格对国际价格则不存在均值溢出;利用ECCC-garch和EDCC-garch模型,发现国内价格与国际价格之间不存在任何方向波动溢出,但国内价格存在着波动集群现象。从市场整合的角度进行解释,并提出政策建议。

On Spillover Effect of International Pig Price Transmission Mechanism

This paper explores the dynamic relationship between domestic piglets,pigs,pork prices and in？ternational pork price according to monthly time series data.The result indicates obvious relations between the two markets with high dynamic correlation coefficients.The international market prices have spillover effect on China＇s domestic market.When international price rises by 1%,domestic pig prices will rise from 0.04% to 0.11% the next month;on the contrary,domestic prices have no mean spillover effect on the international mar？ket.With ECCC（EDCC）-garch model,the research shows that no volatility spillover effect exists between do？mestic pig prices and international pig price,but domestic pig prices have a characteristic of volatility cluste？ring.Lastly,this paper gives a comparatively detailed explanation and puts forward the proposal from the per？spective of market integration.