管理评论

管理评论 ›› 2022, Vol. 34 ›› Issue (3): 31-40.

• 经济与金融管理 • 上一篇    下一篇

生猪价格指数保险能否抑制"猪周期"?

廖朴, 贺晔平, 何溯源, 刘翔宇   

  1. 1. 中央财经大学中国精算研究院/保险学院, 北京 100081;
    2. 墨尔本大学商业与经济学院, 墨尔本3010;
    3. 伦敦政治经济学院统计学院, 伦敦WC2 A;
    2 AE
  • 出版日期:2022-03-28 发布日期:2022-04-20
  • 通讯作者: 何溯源（通讯作者），墨尔本大学商业与经济学院博士研究生
  • 作者简介:廖朴，中央财经大学中国精算研究院/保险学院副教授，硕士生导师，博士;贺晔平，中央财经大学中国精算研究院/保险学院博士研究生;刘翔宇，伦敦政治经济学院统计学院硕士研究生
  • 基金资助:
    国家社会科学基金项目(17CSH018);北京市社会科学基金项目(19YJC043);中央财经大学科研创新团队支持计划和"青年英才"培育支持计划(QYP1909)。

Can Hog Price Index Insurance Inhibit Fluctuation in the Swine Cycle?

Liao Pu, He Yeping, He Suyuan, Liu Xiangyu   

  1. 1. China Institute for Actuarial Science/School of Insurance, Central University of Finance and Economics, Beijing 100081;
    2. Faculty of Business and Economics, The University of Melbourne, Melbourne 3010;
    3. Department of Statistics, The London School of Economics and Political Science, London WC2 A;
    2 AE
  • Online:2022-03-28 Published:2022-04-20

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摘要： 在我国生猪期货市场初步建立且中小规模养殖户较多的背景下，生猪价格指数保险是利用保险方式抑制“猪周期”的有益探索。本文基于对生猪市场供需关系的实证分析，结合蛛网理论和ARMA模型对生猪价格周期进行预测，并评估了生猪价格指数保险对“猪周期”的抑制效果。结果显示，模型预测的生猪价格波动趋势呈现出收敛型的蛛网特征，其中大周期为4 ～ 6年，小周期为5 ～ 14个月。在本文的研究框架下，生猪价格指数保险对“猪周期”产生了明显的抑制作用，并且在合理区间内，约定猪粮比越高，抑制效果越好；同时，生猪价格偏离均衡价格越远，生猪价格指数保险对价格波动的抑制效果越明显。

关键词: 生猪价格指数保险, 猪周期, 蛛网理论, ARMA模型

Abstract: Given the underdevelopment of the hog futures market and the largest population of medium-sized farmers in China, hog price index insurance can be a constructive attempt to suppress the swine cycle by applying insurance methods. Based on an empirical analysis of hog supply and demand, this paper uses cobweb theory and ARMA model to predict the cycle of hog price and evaluates the effect of the index insurance on the cycle. The results show that the model fits well with the swine cycle, with the large cycle being about 4-6 years and the small cycle being about 5 to 14 months. Under the research framework of this paper, the hog price index insurance shows a significant inhibitory effect on the swine cycle, and within a reasonable range, the higher the pig-maize ratio is, the better the inhibition effect will be. The predictions of the swine cycle also indicate convergent cobweb characteristics, and the further the hog price deviates from equilibrium price, the more effective the hog price index insurance will be in inhibiting hog price fluctuations.

Key words: hog price index insurance, swine cycle, Cobweb theory, ARMA model