生猪产业链价格的区制转移与非线性动态调整行为研究

准确刻画生猪产业链价格的动态行为特征是预测生猪市场价格变化趋势的基础,也是政府制定切实可行的生猪价格稳定政策的重要依据。本文以1994年6月至2018年6月中国生猪价格和猪肉价格月度数据为研究对象,运用多区制平滑转移自回归模型划分了生猪价格和猪肉价格序列的区制并实证分析了其区制转移特征;结合多区制平滑转移自回归估计方程的特征根和非线性脉冲响应分析进一步探究了生猪价格和猪肉价格的非线性动态调整行为特征。研究结果表明,生猪价格遵从一个三区制的平滑转移过程,猪肉价格则为一个四区制的平滑转移过程。生猪价格仅在低价位区和高价位区具有较强的持续性,而猪肉价格则在价格低迷区、价格坚挺区和价格恢复区均具有较强的持续性。从区制转移路径上来看,生猪价格很容易从中等价位迅速暴跌到低价位,猪肉价格倾向于由价格下跌区向价格低迷区转移以及由价格恢复区向价格坚挺区转移。随机冲击对猪肉价格的影响持久且具有微弱的"自我调节机制",对生猪价格的影响具有持久性但缺乏"自我调节机制";短期内,随机冲击对生猪市场价格波动起到正向促进作用,在长期,随机冲击对生猪价格主要体现为负效应,对猪肉价格整体表现为正效应。

Study on Regime Transition and Nonlinear Dynamic Adjustment Behavior of HogIndustry Chain Price in China

Precisely characterizing the dynamic behavior feature of hog industry chain is the basis of predicting the hog price trend, and the important basis for the government to formulate feasible policies to stabilize the hog price as well. However, from the perspective of relevant studies at home and abroad, no matter it is a linear model such as SVAR model, error correction model, GARCH model family, or a time series decomposition method such as HP, BP filtering method, EMD decomposition and B-N decomposition method, it only analyzes the external fluctuation appearance of hog market price time series,which makes it impossible to reveal the structural change characteristics and internal change laws of the hog market price time series behavior.This is also an important reason for the paradox that a series of policies to stabilize the hog price have been introduced intensely since 2006 in China, but the price appears abnormal fluctuation instead.Therefore, based on the monthly data of hog price and pork price in China from June 1994 to June 2018, the hog price and pork price sequences are divided by using the multi-regime smooth transition autoregressive model to analyze the regime system transition characteristics. Then, the nonlinear dynamic adjustment behavior of hog price and pork price is further studied via the analysis of the characteristic root of the multi-regime smooth transition autoregressive estimation equation and nonlinear impulse response. It systematically describes the regime transition and nonlinear dynamic adjustment behavior of the hog price industry chain.The results show that, the hog price follows a smooth transition process of three-regime, while the pork price is a smooth transition process of four-regime.The hog price has long duration only in "low-price regime" and "high-price regime", while the pork price has long duration in "depressed price regime","price firm regime" and "price recovery regime".From the perspective of regime transition path, the hog price can easily fall rapidly from the middle price to the low price, and the pork price tends to transfer from "price slump regime"to "depressed price regime"and from "price recovery regime" to "price firm regime".The impact of random shock on pork price is persistent and has a weak "self-regulation mechanism", and the impact on hog price is persistent but lacks "self-regulation mechanism". In the short term, random shock has a positive effect on the price fluctuation of hog market. In the long term, random shock has a negative effect on hog price and a positive effect on pork price.These conclusions provide important decision-making basis for the government to further optimize the policy of hog price fluctuation.