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中国中部生猪市场间的价格网络联动及溢出效应——基于非对称时变视角

The price network linkage and the spillover effects among hog markets in central China: Based on asymmetric and time varying perspectives

  • 摘要: 随着非洲猪瘟暴发以来生猪长距离调运的减少,生猪价格的风险传导更多的集中于区域内部。为探究区域内各省份生猪市场间的价格网络联动及溢出效应,选取生猪产能集中的中部六省为研究对象,基于2016年1月1日至2022年6月21日的中部六省外三元生猪价格的日频数据,建立BEKK-GARCH模型,并结合DY溢出指数从非对称时变角度进行实证分析。研究表明:我国中部六省生猪市场间存在显著的溢出效应,整体收益率和波动率的溢出水平均较高,分别为64.2%和55.7%。不同生猪市场之间的溢出效应均存在非对称性,具体表现为:河南、湖北和山西生猪市场为收益率溢出的净输出者,其余三省为净接收者;湖北、湖南和山西为波动率溢出的净输出者,其余三省为净接收者。六省生猪市场的收益率和波动率溢出具有明显“倒U型”周期性变化和时变特征,当遇到非洲猪瘟等重大突发事件冲击时两者在短期内均会剧烈下降。基于此,有关部门应当高度重视生猪价格波动风险在区域省份间的非对称传导,面对突发疫病及时进行政策调控,推动生猪产业区域协调发展。

     

    Abstract: With the reduction of long-distance transportation of hogs since the outbreak of African swine fever, the risk transmission of hog price has been more concentrated within the region. Based on a daily data of the prices of outer ternary hogs in six central provinces with concentrated hog production capacity from January 1, 2016 to June 21, 2022, and applying the BEKK-GARCH model and the DY spillover index from the perspective of asymmetry time-varying, this paper explored the price network linkage and the spillover effects among hog markets of various provinces in the region. Results show that there are significant spillover effects among the hog markets in the six provinces of China, with high levels of spillover in overall yield and volatility, 64.2% and 55.7%, respectively. The spillover effects among different hog markets are asymmetric, manifested as follows: hog markets in Henan, Hubei, and Shanxi being net exporters of yield spillovers, while the other three provinces being net recipients. Hubei, Hunan, and Shanxi are the net exporters of volatility spillovers, while the remaining three provinces are the net recipients. The yield and volatility of the hog market in six provinces have significant "inverted U-shaped" cyclical changes and time-varying characteristics, and both will drop sharply in a short period when encountering the impact of major events such as African swine fever. Based on the above results, this paper suggests that the relevant government departments should attach great importance to the asymmetric transmission of the risk of fluctuations in hog prices among regional provinces, timely carry out policy regulation in the occurrence of sudden epidemics, and promote the coordinated development of the hog industry in the region.

     

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