Study On Price Transmission Mechanism of The Pork Industry Chain ——An Analysis Based on VAR Model

Highlights in Business, Economics and Management Pub Date : 2024-07-22 DOI:10.54097/vmcpdj47

Sifan Wang, Yawen Li, Zengxiang An

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Abstract

Taking a perspective of the upstream and downstream industry chains, this study investigates the factors influencing pork price fluctuations using monthly data from January 2010 to December 2023 in China as the research sample. A series of prices are selected from the upstream, midstream, and downstream segments of the pork industry chain. A panel VAR (Vector Autoregression) model is constructed, and robustness tests are conducted on the model. Specifically, employing methods such as impulse response analysis and variance decomposition of forecast errors, the empirical research examines the relationship between external shocks and price fluctuations at various stages of the pork industry chain. The research findings indicate: there exists long-term cointegration among live pig prices, piglet prices, wheat prices, corn prices, soybean prices, and pork prices; pork prices (downstream industry chain) exhibit both positive and negative feedback in the short term when impacted by prices in the midstream and upstream industry chains, displaying volatile fluctuations. As the time horizon extends, the magnitude of fluctuations decreases and tends towards zero; pork prices are primarily influenced by themselves, as well as live pig, piglet, wheat, and soybean prices.

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猪肉产业链价格传导机制研究 --基于 VAR 模型的分析

本研究从产业链上下游的角度出发，以中国 2010 年 1 月至 2023 年 12 月的月度数据为研究样本，探讨猪肉价格波动的影响因素。研究选取了猪肉产业链上、中、下游的一系列价格。构建了面板 VAR（向量自回归）模型，并对模型进行了稳健性检验。具体来说，实证研究采用脉冲响应分析和预测误差方差分解等方法，考察了猪肉产业链各环节外部冲击与价格波动之间的关系。研究结果表明：活猪价格、仔猪价格、小麦价格、玉米价格、大豆价格和猪肉价格之间存在长期协整关系；猪肉价格（下游产业链）在短期内受到中游和上游产业链价格的影响时，表现出正反馈和负反馈的关系，呈现波动性波动。随着时间跨度的延长，波动幅度减小并趋于零；猪肉价格主要受其自身以及活猪、仔猪、小麦和大豆价格的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Highlights in Business, Economics and Management

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