突发事件信息冲击对猪肉价格波动的影响

›› 2018, Vol. 30 ›› Issue (9): 246-255.

突发事件信息冲击对猪肉价格波动的影响

苗珊珊

扬州大学苏中发展研究院, 扬州 225009

收稿日期:2016-05-17 出版日期:2018-09-28 发布日期:2018-09-29
作者简介:苗珊珊,扬州大学苏中发展研究院副教授,硕士生导师,博士。
基金资助:
国家自然科学基金项目（71503071）；河南省高等学校哲学社会科学研究优秀学者资助项目（2017-YXXZ-03）；河南省哲学社会科学规划项目（2016BJJ018）。

The Impact of Emergency Information on Pork Price Volatility

Miao Shanshan

Development and Research Institute of Central Jiangsu, Yangzhou University, Yangzhou 225009

Received:2016-05-17 Online:2018-09-28 Published:2018-09-29

摘要/Abstract

摘要：

信息是猪肉市场稳定发展的重要基础。频繁的信息交流使得猪肉市场的波动性大大增强。信息冲击与猪肉价格互动越来越明显，对稳定猪肉市场、保障居民生活水平以及生猪养殖户收入增长产生显著影响。本文以2008年1月至2015年4月疫情信息数据与猪肉零售价格数据为样本，采用PPM模型考察突发事件信息冲击与猪肉零售价格的突变点，在此基础上运用TARCH模型实证分析信息对猪肉价格波动的冲击效应及其影响特征。研究发现：生鲜农产品突发事件信息与猪肉零售价格波动具有相关性，信息冲击对猪肉零售价格波动产生杠杆效应，导致猪肉价格波动呈现集簇性、非对称性、记忆性与持续性特征。因此，政府面对外部冲击应实施相机抉择的价格稳定机制，通过建立猪肉价格波动的风险预警体系，提前应对价格波动对相关行业与主体的冲击，确保猪肉市场稳定运行。

关键词: 信息冲击, 猪肉价格, 价格波动, 杠杆效应

Abstract:

Information is an important foundation for the stable development of pork market. Frequent information exchange makes the pork market volatility greatly enhanced. The interaction between information shock and pork price is becoming more obvious, which has a significant impact on the pork market, residents' living standard and the farmers' income. In this paper, pork price and epidemic information data are incorporated into the model to analyze the influence of emergency information on pork price fluctuation from January 2008 to April 2015. The PPM model is employed to analyze the price volatility characteristics and change point. Moreover, TARCH model is utilized to explore the impact of emergency information on pork price fluctuations. The results show that the epidemic information and pork retail price have correlated change point, that is, the impact of emergency information has a leverage effect on the fluctuation of pork retail price, which leads to the clustering, asymmetric, memory and persistent characteristics. Therefore, government should imple-ment price stability policy based on pork price volatility features; establish price risk warning system, to countermeasure the impact of price fluctuation on pork industry and ensure the stable operation of pork market.

Key words: information impact, pork price, price fluctuation, leverage effect

苗珊珊. 突发事件信息冲击对猪肉价格波动的影响[J]. , 2018, 30(9): 246-255.

Miao Shanshan. The Impact of Emergency Information on Pork Price Volatility[J]. , 2018, 30(9): 246-255.

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