摘要
运用极值理论,分析1998年1月至2014年6月的月度时间序列数据,以识别生猪市场4个指标的价格风险,并建立预警机制。首先利用仔猪、活猪和猪肉的价格序列构建了生猪市场价格指数,然后以断点检验对其波动率进行了阶段划分;计算得出仔猪、活猪、猪肉及生猪价格指数阈值估计在0.064、0.045、0.040和0.060,基于此对历史数据进行了识别,以确保阈值估计的科学性;以阈值和不同分位数下的风险度量建立了预警机制的单一规则和分级体系,为政府决策部门对生猪市场的价格风险进行识别和干预提供理论参考。
Based on the Extreme Value Theory(EVT),this paper identifies price risk and puts forward warning mechanism of pig market by 4indices according to monthly time series data from January 1998 to June 2014.Firstly,pig market price indices are constructed by means of price lines from piglets,live pigs and pork.Secondly,the stages of fluctuation rates are divided by using changepoint analysis.4threshold indicators of piglets,live pigs,pork and pigs are calculated to be 0.064、0.045、0.040 and 0.060 respectively and then historical data are identified to ensure the scientific nature of threshold.Finally,two warning mechanisms,a single threshold rule-set and a tiered warning system are constructed based on the threshold and different quantities on risk measurement to provide some references for governmental decision-making departments in verifying and intervening price risk of pig market.
出处
《华中农业大学学报（社会科学版）》
CSSCI
2016年第1期30-37,129,共9页
Journal of Huazhong Agricultural University(Social Sciences Edition)
基金
国家社会科学基金项目"保障我国畜产品食用安全对策研究"(13BGL098)
北京市教育委员会社会科学计划面上项目(SM201510020001)
