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猪肉价格在2016年上半年的大幅波动又一次引发了全社会对猪肉市场的关注。笔者利用ARMA-GARCH模型分析了2013年11月13日—2016年7月15日猪肉价格的波动特征,检验了猪肉市场的波动是否存在集群效应、高风险高预期收益与杠杆效应。结果表明:我国猪肉价格的波动存在集群效应,即猪肉价格的一次大幅波动将产生较长的影响;猪肉的刚性需求导致猪肉市场的高风险并不会带来预期收入的增加;猪肉市场并不存在杠杆效应。因此,政府应通过合理规划养殖能力、引导实现规模化和完善猪肉储备制度的方式预防猪肉市场的大幅波动,减轻对生猪养殖业的影响。
The sharp fluctuations in pork prices in the first half of 2016 have once again aroused the concern of the whole society for the pork market. Using the ARMA-GARCH model, we analyzed the fluctuation characteristics of pork price from November 13, 2013 to July 15, 2016 and tested whether the pork market has the cluster effect, the high-risk high-expected return and the leverage effect. The results show that there is a cluster effect in pork price fluctuation in our country, that is, a sharp fluctuation of pork price will have a long-term impact. The rigid demand of pork causes the high risk of pork market will not bring the expected increase of income; pork market does not There is a leverage effect. Therefore, the government should prevent the swine market fluctuation and reduce the impact on the pig breeding industry through the rational planning of breeding capacity, guiding the realization of large-scale and perfect pork reserve system.