| Hog farming has always been an important agricultural sector,which concerns national economy and people's livelihood.China is the world's largest producer and consumer of pork as well.The "frequent and massive" fluctuations in the price cycle of hog have a significant impact on both the pork consumers and hog farmers as well as the macroeconomic stability since hog market has opened in 1985.How to maintain the stability of hog market price has been highly concerned by the state.Since 2006,the State Council and relevant government departments have issued a series of policies that take ?hog-corn price ratio? as the core regulation index to stabilize the hog market price,but these policies do not consider the characteristics of hog market price fluctuation cycle.Instead,the policies merely focus on the external appearance of price fluctuation.As a result,the hog price fluctuation is aggravated rather than being stabilized.Hence,to accurately capture the behavioral characteristics of hog price fluctuations so as to modify and improve existing policy for stabilizing hog price,is very important for the stabilization of hog price.From the existing research methods used by articles both at home and abroad,traditional linear econometric models are not enough to describe the behavior characteristics of hog price periodic fluctuat ion.In fact,under the realistic background that the retail,small-sized and medium-sized breeding are the main breeding modes,the diversity and heterogeneity exist objectively in many aspects such as price expectation and adjustment cost,which makes th e hog price fluctuation in China present nonlinear dynamic behavior characteristics.In view of this,Beveridge-Nelson decomposition and multi-regime smooth transition autoregressive model are employed in this paper to comprehensively study the component s tructure and the nonlinear behavior characteristics of periodic fluctuation of hog price.On the basis of a descriptive statistical analysis of the periodic price fluctuations and a theoretical analysis of the determination mechanism and transmission mechanism of the periodic price fluctuations in China's hog market,this paper mainly completes the following work:(1)By taking the monthly data of real piglet price,hog price and pork price from January 2003 to April 2017 in China as research samples,Beveri dge-Nelson decomposition method is applied to measure the deterministic trend,stochastic trend and periodic component of the hog price sequence and accordingly to identify the real cycle of three prices.Then,the impulse response function and variance ra tio are used to measure the lasting effect of random shock to the periodic fluctuations of three prices.The study shows that,in sample per iod,piglet price,hog price and pork price can be divided into four complete long cycles,with average cycle length being 40 months,41 months and 41 months respectively.Hog price fluctuation is mainly the result of the combination effect of deterministic trend and stochastic trend,showing a steady long-term growth trend that increases over time,and the random shock has a significant lasting effect on China's hog price.This conclusion provides an important reference for accurate prediction of the future hog price fluctuation cycle and for precise implementation of the hog price stability policies.(2)The multi-regime smooth transition autoregressive model is applied to empirically analyze the regime transition behavior of the hog price fluctuation,and to estimate the characteristic roots of the characteristic polynomial which is combined with generalized impulse response function to furtherly analyze the nonlinear dynamic behavior characteristics of hog price time series.The results show that,the hog price follows a dynamic adjustment process of three-regime composed of ?low-price regime?,?middle-price regime? and ?high-price regime?.The prices of piglet and pork are adjusted dynamically in four regimes: ?depressed price regime?,?price recovery regime?,?price slump regime? and ?price firm regime?.The random shock has a short-term positive effect on the hog price fluctuation,but its long-term effect is negative and lasting.The conclusion reveals that the piglet price,hog price and pork price have different regimes and regime transition behavior characteristics.Therefore,establishing the price control mechanism of regime system is an important measure to improve the effectiveness of the price control policy for hog industry chain.(3)The static and dynamic panel models are constructed to analyze the internal and external driving factors of hog price fluctuatio ns.Considering the possible impact of technological progress and technological efficiency,new-type urbanization and a series of industrial policy shocks on the hog price fluctuation,an endogenous production function is established to theoretically explo re the impact mechanism of technological progress and technical efficiency on the hog price,and empirical evidence is obtained by using static and dynamic panel models.Empirical analysis on the spatial and temporal characteristics of the quality of new-type urbanization and the fluctuation of hog price is conducted by using the spatial dynamic panel model.Moreover,the modified GARCH model with dummy variables embedded is applied to test the impact of industrial policy shock on the hog price fluctuation.The results show that: the hog output,the disposable income of urban residents,corn price and the substitutes' price all have significant influences on the hog price.Whether in the short term or in the long term,technological progress and technological efficiency have always increased the fluctuation of hog price,but the effect varies from region to region.The hog price fluctuation has a typical spatiotemporal effect,and the urbanization development has a significant nonlinear dynamic effect on the hog price fluctuation.The price fluctuations are amplified by the intensive introduction of hog industry policies after 2006. |
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