生猪价格波动的非对称分析——基于Markov区制转移VAR模型

本研究基于2000年1月—2017年6月的生猪价格月度数据,选取影响生猪价格波动的主要因素,建立MSIAH(3)-VAR(2)模型分析生猪价格在不同区制下的波动情况,并对未来的生猪价格做出预测。结果表明:(1)仔猪价格、猪肉价格和牛肉价格显著影响着生猪价格,在不同状态下,对生猪价格的影响有异质性。猪肉价格在3种区制状态下对生猪价格均有显著影响,仔猪价格仅在"价格下跌"时对生猪价格有显著影响,而牛肉价格仅在"价格上涨"时对生猪价格有显著影响。(2)生猪价格位于"价格稳定"区制的频率最高,达到0.5529,且3个区制具有高度稳定性。区制1转移至区制3、区制3转移至区制1的概率分别为0.1046和0.0600,区制2转移到区制3、区制3转移到区制2的概率分别为0.1079和0.4315,生猪价格波动存在不对称性。(3)预测2017年下半年的生猪价格从"价格下跌"状态转移至"价格稳定"状态概率显著增大,和实际情况较吻合。

Asymmetric Analysis of Hog Prices Fluctuation-Based on Markov VAR Regression

Based on the monthly data of hog prices from January 2000 to June 2017, the paper selected the main factors affecting the hog price fluctuation and established the MSIAH(3)-VAR(2) model to analyze the fluctuation of hog prices in different regimes. Then, forecast future hog prices. The empirical results show that:(1) piglet pork and beef prices are significant factors affecting hog price. In different states, there is heterogeneity on the impact of hog prices. Pork price is all significant in the three regimes, but piglet price is significant only in the "price decline state". The price of beef is significant in the "price rise state".(2) Hog prices are located in the "price stability" zone system of the highest frequency, reaching 0.5529, and the three zone system has a high degree of stability. The probability of system 1 transferring to 3 and district system 3 transferring to 1 is 0.104 6 and 0.060 0 respectively, and the probability of district system 2 transferring to 3 and district system 3 transferring to 2 is 0.107 9 and 0.431 5. The transfer between different regimes has significant asymmetry.(3) The trend of hog prices in the second half of 2017 is forecasted, the probability of the price shifting from the "price drop" state to the "price stability" state remarkably increases, which is more consistent with the actual situation.