CAJ | 학술논문

运用2005-2011年我国肉类农产品和国际饲料粮的周价格数据,利用GARCH类模型分析了我国肉类农产品价格的波动规律.研究表明我国猪肉、牛肉和羊肉价格波动均具有异方差效应和波动集聚性特征,且猪肉具有高价格波动高溢价的特征.进一步利用DCC-GARCH模型分析我国肉类农产品价格与国际饲料粮价格的动态关系.研究表明两者之间具有显著的持续性的时变相关性特征;三种肉类农产品对国际大豆和豆粕期货价格波动的反应显著,而对国际玉米期货价格波动的反应不敏感;且三种肉类农产品价格溢价率对国际饲料粮价格波动的反应方式和程度各异.
운용2005-2011년아국육류농산품화국제사료량적주개격수거,이용GARCH류모형분석료아국육류농산품개격적파동규률.연구표명아국저육、우육화양육개격파동균구유이방차효응화파동집취성특정,차저육구유고개격파동고일개적특정.진일보이용DCC-GARCH모형분석아국육류농산품개격여국제사료량개격적동태관계.연구표명량자지간구유현저적지속성적시변상관성특정;삼충육류농산품대국제대두화두박기화개격파동적반응현저,이대국제옥미기화개격파동적반응불민감;차삼충육류농산품개격일개솔대국제사료량개격파동적반응방식화정도각이.
This paper examines the relation of the meat market in China with international future commodity mar-ket in weekly frequency over the period 2005-2011. Three GARCH models are used to incorporate price volatil-ity into the rational expectations for each meat category. Based on descriptive statistics and time-series regres-sion, it concludes that all three meat prices show a stochastic process and a feature of asymmetry. Furthermore,this paper implements the DCC-GARCH to examine the dynamic conditional correlation of price volatility of themeat market with the international future commodities. The findings indicate that beef, mutton and pork are re-spectively sensitive to the price change of soybean and soymeal, but not statistically significant to the price vola-tility of corn. The results also suggest that the examined meat market displays various patterns and levels in re-sponse to the price volatility in international future market on feed grains. Overall, these results seem to be im-portant for policy implications.