Price Transmission Mechanism and Characteristics of Pork and Feed Market in China——Based on the Asymmetric Error Correction Model

doi:10.14088/j.cnki.issn0439-8114.2018.10.028

Abstract

Abstract: Using the monthly data between 2000 and 2015, this study applies asymmetric error correction model and impulse response function to investigate the price transmission between pork and feed. Results show that there is a long-term equilibrium relationship between pork price and feed price; in the short run, a reverse correction mechanism was detected in the cointegration system, as well as a lagged and significantly asymmetric price transmission effect. The cointegration between pork price and feed price was further confirmed using the impulse response function and variance decomposition. Further investigation indicated that the asymmetric transmission is mainly attributed to information asymmetry, market power and cost control.

Key words: pork price, feed price, asymmetry, asymmetric error correction model

CLC Number:

F323.7

CHAO He-sen, ZHU Li-qin. Price Transmission Mechanism and Characteristics of Pork and Feed Market in China——Based on the Asymmetric Error Correction Model[J]. HUBEI AGRICULTURAL SCIENCES, 2018, 57(10): 110-115.

References

[1] TIAN X,YU X.The demand for nutrients in China[J]. Frontiers of Economics in China,2013,8:186-206.
[2] 聂辉华. 最优农业契约与中国农业产业化模式[J].经济学(季刊),2012,12(1):313-330.
[3] 董晓霞. 中国生猪价格与猪肉价格非对称传导效应及其原因分析——基于近20年的时间序列数据[J].中国农村观察,2015(4):26-38.
[4] 方晨靓,顾国达.农产品价格波动国际传导机制研究——一个非对称性视角的文献综述[J].华中农业大学学报(社会科学版),2012(6):6-14.
[5] 王晶晶,钱小平,陈永福.我国生猪产业链价格传递的非对称性研究——基于门限误差修正模型的实证分析[J].农业技术经济,2014(2):85-95.
[6] HOUCK J P.An approach to specifying and estimating nonreversible functions[J].American Journal of Agricultural Economics,1977(59):570-572.
[7] 王秀清,WELDEGEBRIEL H T,RAYNER A J.纵向关联市场间的价格传递[J].经济学(季刊),2007,6(3):885-898.
[8] 胡华平,李崇光.农产品垂直价格传递与垂直市场联结[J].农业经济问题,2010(1):10-17.
[9] 罗锋,牛宝俊.国际农产品价格波动对国内农产品价格的传递效应——基于VAR模型的实证研究[J].国际贸易问题,2009(6):16-22.
[10] 王烁,李铁铮.生猪价格与玉米价格动态影响关系研究——基于Geweke因果分解检验[J].价格理论与实践,2015(11):85-87.
[11] TWEETEN L G,QUANCE C L.Positivistic measures of aggregate supply elasticities: Some new approach[J].American Journal of Agricultural Economics,1969,51(6):342-352.
[12] CRAMON-TAUBADEL S.Estimating asymmetric price transmission with the error correction representation:An application to the German pork market[J]. European Review of Agricultural Economics,1998,25(2):1-18.
[13] PELTZMAN S.Price rise faster than they fall[J].Journal of Political Economy,2000,10(3):466-502.
[14] 董晓霞,胡冰川,于海鹏.我国鸡蛋市场价格非对称性传导效应研究——基于非对称误差修正模型[J].农业技术经济,2014(9):52-60.
[15] MILLER D J,HAYENGA M L.Price cycles and asymmetric price transmission in the US pork market[J].American Journal of Agricultural Economics,2001,83(3):551-562.
[16] BEN-KAABIA M,GIL J M.Asymmetric price transmission in the Spanish lamb sector[J].European Review of Agricultural Economics,2007,34(1):53-80.
[17] 田旭,钞贺森,王善高.我国生猪价格与饲料市场价格传导的非对称效应——破解猪肉价格快涨慢跌与只涨不跌现象[J].价格理论与实践,2016(11):92-95.
[18] MEYER J,CRAMON-TAUBADEL S.Asymmetric price transmission:A survey[J].Journal of Agricultural Economics,2004, 55(3):581-611.
[19] ENGLE R,GRANGER C.Co-integration and error correction:representation,estimation,and testing[J].Econometrica,1987,55:251-276.
[20] LEVY D,BERGEN M,DUTTA S,et al.The magnitude of menu costs:Direct evidence from large US supermarket chains[J].Quarterly Journal of Economics,1997,112(3):791-825.
[21] DUTTA S,BERGEN M,LEVY D,et al.Menu costs,posted prices and multiproduct retailers[J].Journal of Money,Credit and Banking,1999,31(4):683-703.