Empirical Analysis on Price Linkage to Agricultural Products among Beijing and Its Main Hog Supply Provinces: Based on VAR Model
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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。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.
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Keywords:
- hog price /
- VAR model /
- price linkage /
- cointegration test /
- impulse response /
- variance decomposition
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