我国猪肉价格的影响因素是时变的吗?——基于动态模型平均的分析与预测
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自然科学基金面上项目“基于动态模型平均的区间型预测技术及在农产品期货市场的应用研究”(71771101);国家自然科学基金青年项目“基于多尺度分析的我国生猪市场价格驱动机制与预测模型研究”(71501079)。


Do The Influencing Factors of Pork Price Change Over Time——The Analysis and Forecasting Based on Dynamic Model Averaging
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    摘要:

    猪肉价格的超常波动给人民生活与相关产业发展均带来了不利影响。为有效识别猪肉价格影响因素并对猪肉价格进行科学的预测,从猪肉价格影响因素的时变特征入手,提出一套基于动态模型平均理论的猪肉价格影响因素与预测分析框架。 检测猪肉供给、猪肉需求、我国经济环境和国际市场等四个方面11个价格影响因素,研究并识别猪肉价格影响因素的时变特征,进而构建猪肉价格预测模型,并通过预测误差指标和DieboldMariano检验比较其与基准模型的预测能力。研究发现:我国猪肉价格影响因素存在显著的时变特征,且因素间差异明显;自2009年以来,猪肉价格的决定机制更为复杂,影响因素更为多元;基于动态模型平均的猪肉价格预测模型的预测表现明显优于基准模型。政府部门在制定生猪市场调控政策时,需充分考虑到供给、需求、我国经济环境、国际贸易对猪肉价格的影响,并且可以借助准确的猪肉价格预测信息以增强调控政策的主动性、前瞻性和科学性。

    Abstract:

    In recent years,the extraordinary fluctuations of pork price in China exert adverse effects on people’s livelihood and the development of related industries.Thus,exploring the influencing factors of pork price and obtaining the accurate forecasts of the pork price are of great practical significance.In view of the time-varying characteristics of pork price’s influencing factors,this paper puts forward an influencing factors analysis and pork price forecasting framework based on dynamic model averaging theory.By examining eleven influencing factors derived from the supply of pork,demand of pork,economic environment of China,and international markets,this paper investigates the timevarying characteristics of influencing factors,and then constructs the pork price forecasting model by introducing the dynamic model averaging.Furthermore,we compare the ability of the proposed model with benchmarks used to forecast the pork price by accuracy measures and Diebold-Mariano test.The empirical results indicate that the influencing factors of pork price exhibit significant time-varying characteristics,with significant differences between factors.Since 2009,the decision mechanism and influencing factors of pork price have become more complicated and diverse.Moreover,the pork price forecasting model based on dynamic model averaging achieves more accurate forecasts than benchmarks.Government need to take full account of the impact of supply,demand,China’s economic environment and international trade on pork prices when formulating pig market regulation and control policies,and can use accurate pork price forecast information to enhance their initiative,foresight and scientificity.

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熊 涛.我国猪肉价格的影响因素是时变的吗?——基于动态模型平均的分析与预测[J].华中农业大学学报(社会科学版),2021(3):63-73

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  • 在线发布日期: 2021-05-11
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