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生猪价格风险区域溢出联动及空间特征研究基于LASSO-VAR模型

Research on regional spillover linkage and spatial characteristics of hog price risks: based on the LASSO-VAR modeling

  • 摘要: 突发重大动物疫情加剧了生猪市场价格风险的空间联动性,深入考察生猪价格风险的区域溢出关系,有助于认识动物疫情冲击下的空间溢出效应。本文基于2005年1月至2021年12月全国省级生猪价格月度数据,采用LASSO-VAR模型与DY溢出指数,探究生猪价格风险的区域动态溢出效应及其空间网络结构特征。结果表明:1)我国生猪市场价格风险水平整体呈波动起伏态势,高低风险阶段交替出现;特定时期风险水平显著抬升,尤其是非洲猪瘟暴发期风险波动幅度急剧增大。2)风险溢出效应明显存在地域差异,主产省为核心风险输出源,非主产省则主要承担风险输入角色;总体风险溢出指数呈“倒U型”周期变化,在疫情高发阶段区域风险联动性显著增强。3)生猪价格风险的空间溢出网络整体关联性强且相对稳定;生猪集中产区在网络中占据中心位置,网络影响力和控制能力更为突出。本研究通过剖析风险溢出的时空特征,将为生猪市场风险管理提供理论依据。

     

    Abstract: The outbreak of major animal epidemics has strengthened spatial linkages of price risks in the hog market. A comprehensive analysis of regional spillover effects in hog prices helps clarify the spatial spillover dynamics under animal epidemic impacts. Based on monthly provincial hog price data from January 2005 to December 2021 across China, this study applies the LASSO-VAR model and the DY spillover index to investigate regional dynamic spillover effects in hog price risks and characteristics of their spatial network structure. Results reveal that: 1) The overall price risk level in China’s hog market has exhibited a fluctuating trend, with alternating high and low risk periods; risk levels rose significantly during specific periods, particularly during the African swine fever outbreak, when risk volatility surged. 2) Risk spillover effects display significant regional variations: major production provinces act as core risk exporters, while non-major production provinces primarily function as risk importers. The overall risk spillover index follows an inverted “U-shaped” cyclical pattern, with regional risk linkages strengthening markedly during high epidemic incidence phases. And 3) the spatial spillover network of hog price risks shows strong overall connectivity and relative stability; concentrated hog production areas occupy central network positions, with more prominent network influence and control capabilities. By analyzing the spatiotemporal characteristics of risk spillovers, this study provides a theoretical foundation for hog market risk management.

     

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