| 摘要: |
| 为探讨我国肉牛产业链主要环节价格非线性波动及其传递特征，基于2012年1月—2015年10月我国肉牛产业链主要环节价格数据，采用马尔可夫转换向量自回归（MS-VAR）模型进行实证分析。结果表明：肉牛产业链主要环节价格存在2种不同的运行状态，且呈现出明显的阶段性；第1个阶段为2012年初—2013年上半年，第2个阶段为2013年下半年—2015年；肉牛产业链在常规状态运行概率更高，持续时间更长，但两状态相互转换概率均较低，说明价格波动存在平滑性。肉牛产业链价格传递作用明显，架子牛价格在产业链价格传递过程中起主导作用；产业链价格传递在不同状态下作用存在差异，非常规状态下传递作用更为明显；价格传递作用持续时间一般在半年以上。 |
| 关键词: 肉牛产业链 价格波动 价格传递 非线性 MS-VAR模型 |
| DOI：10.11841/j.issn.1077-4333.2017.08.19 |
| 投稿时间：2016-06-08 |
| 基金项目:现代农业产业技术体系建设专项资金（CARS-35-22）；中国农业科学院科技创新工程项目（ASTIP-IAED-2016-01）；国家自然科学基金资助项目（71173220） |
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| Nonlinear prices fluctuation and transmission of beef cattle industry chain in China |
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SHI Zizhong1, WANG Mingli2, HU Xiangdong2, CUI Cha2
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| (1.College of Economics and Management, China Agricultural University, Beijing 100083, China;2.Institute of Agricultural Economics and Development, Chinese Academy of Agricultural Sciences, Beijing 100081, China) |
| Abstract: |
| In order to analyze the characteristic of fluctuation and transmission of major beef cattle industry chain,prices of major beef cattle industry chain from January 2012 to October 2015 are used,and a Markov Switching Vector Autoregression Model is established.The results show that the prices of the major beef cattle industry chain have significant regime switching effect,which change from abnormal regime to normal regime.And the history of the prices can be divided into two stages,the year of 2012 to the first half year of 2013 and the second half year of 2013 to 2015.Besides,the probability and average duration of the prices in normal regime is bigger than that in abnormal regime.While the transition probability between those two regimes is low indicating the prices fluctuation is smooth.Furthermore,it has obvious transmission effect in the beef cattle industry chain,and the feeder cattle price plays a leading role in this sector.In normal regime,the transmission effect has great difference with the abnormal regime.The transmission effect in the abnormal regime is heavier than that in the normal regime.The duration of the prices transmission lasts generally more than six months. |
| Key words: beef cattle industry chain price fluctuation price transmission nonlinear MS-VAR model |
