禽流感疫情变动对畜禽产品价格的动态影响研究——基于时变参数向量自回归(TVP-VAR)模型

本文通过借助互联网大数据构建公众禽流感关注度指数作为禽流感疫情变动的代理变量,选取2013年1月—2017年3月畜禽产品周度价格数据,运用时变参数向量自回归模型(TVP-VAR)实证分析了禽流感疫情变动对畜禽产品价格波动的动态影响。结果表明,禽流感疫情的变化会造成畜禽产品价格波动,其中,对鸡肉价格影响最大,其次为猪肉价格,牛羊肉价格受到的影响相对较小;禽流感疫情的变动对鸡肉和牛羊肉价格以负向影响为主,而对猪肉价格的影响存在反转效应,即短期存在负向影响,中长期存在正向影响;不同时期、不同时点上禽流感疫情的变动对畜禽产品价格造成的影响不同,且具有明显的时变性。

The analysis of the dynamic impacts of avian influenza on livestock and poultry prices: Based on the TVP-VAR model

Based on an internet big data of weekly prices of livestock and poultry products from January 2013 to March 2017, this paper built a public avian flu concern index as the agent variable of avian influenza to analyze the dynamic impacts of the change of avian influenza on livestock and poultry product prices by a time-varying parameter vector autoregressive model (TVP-VAR). Results show that the change of the avian flu epidemic caused fluctuations in livestock and poultry prices, and poultry price received the most impacts, followed by pork price, beef price, and lamb price. The change of avian influenza epidemic has negative impacts on the poultry price, beef price and lamb price, but a complicated impact on pork price: with a negative impact in the short run and a positive impact in the medium and long run. The impact of the change of avian influenza on livestock and poultry prices was obviously time-varying.