北京航空航天大学学报(社会科学版) ›› 2016, Vol. 29 ›› Issue (4): 75-80.DOI: 10.13766/j.bhsk.1008-2204.2014.0480

• 经济与管理 • 上一篇    下一篇

北京及其主要生猪供给省份间价格联动研究——基于VAR模型

孙赫, 任金政   

  1. 中国农业大学 经济管理学院, 北京 100083
  • 收稿日期:2014-09-25 出版日期:2016-07-25 发布日期:2016-07-20
  • 作者简介:孙赫(1988-),男,山东青岛人,博士研究生,研究方向为项目分析与风险管理.
  • 基金资助:

    国家科技支撑计划子课题(2014BAL07B04)

Empirical Analysis on Price Linkage to Agricultural Products among Beijing and Its Main Hog Supply Provinces: Based on VAR Model

SUN He, REN Jinzheng   

  1. College of Economics and Management, China Agricultural University, Beijing 100083, China
  • Received:2014-09-25 Online:2016-07-25 Published:2016-07-20

摘要:

基于2008-2013年生猪旬度价格数据,在VAR模型的基础上运用Johansen协整检验、Granger因果检验、误差修正模型、脉冲响应函数和方差分解等方法,对北京及其主要生猪供给省份(冀、豫、鲁、辽、吉)市场间价格联动进行实证分析。研究表明,存在各省市生猪市场整合程度较高,北京生猪价格受供给省份主导,对冲击反应周期较长,各供给省份对其影响力差异较大等问题。为此,需要提高生猪价格信息流通速度与质量、维持区域供需平衡,达到稳定生猪价格与提高生猪市场流通效率的目标。

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

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