生猪价格波动特征及形成机理的异质性——基于M-K检验和协方差分析

为探究生猪价格波动特征及形成机理的异质性,借助2000年1月至2017年3月生猪价格数据,从结构突变的视角出发,借助非参数Mann-kendall识别价格数据的结构变点,并利用Census-X12和协方差分析方法探索三种成分在不同阶段对生猪价格贡献度的异质性,构建统计模型分析生猪价格波动的成因及其影响程度。结果表明,2000年1月-2017年3月间,生猪价格在2007年5月发生了突变;相对于前一阶段,2007年6月-2017年3月期间价格的不规则成分影响增大,季节性越来越明显,2007年5月之后生猪价格背后影响因素对其非线性作用更为突出;不规则因素对生猪价格的贡献度从第一阶段的0.004增加到第二阶段的0.014,季节因素的贡献度从0.029上升到0.065,但趋势周期因素的贡献度从0.967下降为0.921。整体来说,猪肉价格和仔猪价格对生猪价格的影响较大,不同影响因素在不同的阶段对生猪价格的作用大小及作用方向存在差异,养殖成本和疫情成为新型影响因素。

Heterogeneity of the characteristics and formation mechanism of hog price's volatility: Based on M-K test and covariance analysis

In order to analyze the characteristics and mechanism of hog price volatility, a structural break was identified by means of non parametric Mann-kendall from the perspective of structural breaks in this study by using the data obtained from January 2000 to March 2017. On this basis, Census-X12 and covariance analysis were used to explore the heterogeneity of three factors'' contribution to hog price at three stages. A Log-linear model was constructed to study the causes and differences of influence degrees. The results showed that the volatility for hog price mutated in May 2007 from January 2000 to March 2017. Compared to the previous stage, the impact of irregular components was increasing and seasonality was getting more and more obvious from June 2007 to March 2017. The non-linear effect of factors was more prominent after May 2007. In addition, the contribution of irregular factors increased from 0.004 in the first stage to 0.014 in the second stage, and contribution of seasonal factors increased from 0.029 to 0.065, while the contribution of trend factors decreased from 0.967 to 0.921. Overall, the influence of pork price and piglet were greater. The effects of size and direction on hog price were different at different stages and the cost of breeding cost and epidemic were becoming new influencing factors.