The Impact of Emergency Information on Pork Price Volatility

Abstract

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

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

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