Association Journal of CSIAM
Supervised by Ministry of Education of PRC
Sponsored by Xi'an Jiaotong University
ISSN 1005-3085  CN 61-1269/O1

Chinese Journal of Engineering Mathematics ›› 2022, Vol. 39 ›› Issue (4): 545-558.doi: 10.3969/j.issn.1005-3085.2022.04.004

Previous Articles     Next Articles

Study on the Volatility of Pork Price in China under the African Swine Fever Epidemic---Based on ARCH Family and BVAR Model

SUN Dayan1,2,3,   CHEN Lei1,   BU Renmende3   

  1. 1. School of Economics, Dongbei University of Finance and Economics, Dalian 116025;
    2. School of Economics, Inner Mongolia University for the Nationalities, Tongliao 028000;
    3. Rural Revitalization Research Base in Eastern Inner Mongolia, Tongliao 028000
  • Online:2022-08-15 Published:2022-10-15
  • Supported by:
    The National Social Science Foundation of China (18XJL008; 20MBZ116).

Abstract:

African swine fever, which began to be introduced to China in August 2018, has had a sustained impact on China's pork market, causing pork prices to rise sharply, breaking through the highest historical value. By selecting monthly data from January 2001 to March 2020, and using the ARCH family model, the clustering, high risk, high return and asymmetry of pork price fluctuations. By using Bayesian VAR model, impulse response and variance decomposed, the impact of corn price, per capita disposable income of town residents, the exchange rate of RMB against the US dollar and the pig epidemic index on pork prices are studied. The conclusion is that the pork price conditional variance has volatility ``cluster" phenomenon; pork price has the characteristics of high risk and high return; ``good news" can bring greater fluctuations than ``bad news". Corn prices and exchange rate levels have a strong positive effect on pork prices, disposable income has a weak positive effect on pork prices, and a pig epidemic has a strong negative effect on pork prices. From the largest to the smallest, the contribution rate to the fluctuation of pork price is itself, the exchange rate level, the disposable income level of urban residents, the corn price and the pig epidemic index. Finally, the corresponding solutions are proposed.

Key words: pork price, influencing factors, ARCH family model, BVAR model

CLC Number: