关键词: 生猪价格, VAR模型, 价格联动, 协整检验, 脉冲响应函数, 方差分解

Abstract:

Based on VAR model, this paper makes an empirical analysis on price linkage to agricultural products in Beijing and its main hog supply provinces by using every ten days' hog price. The results of Johansen cointegration, Granger causality test, error correction model, impulse response and variance decomposition show that Beijing and its main hog supply provinces have a high integration of hog market. Beijing hog price is dominated by the main hog supply provinces and its period of response to the impulse is long. The influences on Beijing hog price from main hog supply provinces are quite different. According to the research, it is necessary to stabilize hog price and improve market efficiency by strengthening the efficiency of information flow and maintaining balance of supply and demand.

Key words: hog price, VAR model, price linkage, cointegration test, impulse response, variance decomposition