论文部分内容阅读
本文根据我国生猪和猪肉价格的数据特征,运用Beveridge和Nelson提出的趋势周期分解技术,将1995—2009年生猪和猪肉价格月度数据分解为确定性趋势、周期成分和随机趋势。在此基础上,基于方差比度量随机冲击对生猪市场产生的持久性效应。分解结果表明:我国生猪和猪肉价格中存在稳定增长的确定性趋势,总体上外部冲击对价格产生负面效应;生猪和猪肉价格共经历了5个完整周期,平均周期长度30个月,并于2009年下半年进入第6轮周期的下行期;生猪和猪肉价格的长期波动中有90%源于随机冲击。
According to the data characteristics of China’s hog and pork prices, this paper decomposes the monthly data of hog and pork prices from 1995-2009 into deterministic, cyclical and stochastic trends based on the trend cycle decomposition technique proposed by Beveridge and Nelson. On this basis, the stochastic impact on the live pig market is measured based on the variance ratio. The decomposition results show that the prices of live pigs and pork in our country have a certain trend of steady growth. On the whole, the external impact has a negative effect on the price. The prices of live pigs and pork have gone through 5 complete cycles with an average cycle length of 30 months. The second half of the sixth round of the cycle into the down; long-term fluctuations in hog and pork prices, 90% from random shocks.