• 论文 •

### 猪肉价格波动的非对称性及其对CPI的影响

• 出版日期:2013-08-15 发布日期:2013-08-05

### The Asymmetric Volatility of Pork Price and Its Impact on CPI

Feng Ming

• Online:2013-08-15 Published:2013-08-05

Abstract: In this article, Exponential Generalized Autoregressive Conditional Heteroscedasticity (E-GARCH) models and Threshold Generalized Autoregressive Conditional Heteroscedasticity (T-GARCH) models are applied to analyze the heteroscedasticity of pork price in China. Specifically, the monthly data between 2001 and 2012 is used. The estimation results indicate that, compared with beef, lamb, and chicken prices, pork price has several outstanding characteristics: (1) is much more volatile, (2) shows cyclical fluctuation, and most importantly, (3) its volatility is asymmetrical. In detail, a positive shock may cause larger pork price volatility than a negative shock. Furthermore, the asymmetry of pork price volatility could be explained with the “adjusted adaptive price expectation theory”. Since pork has a heavy weight in China’s Consumer Price Index basket, the findings in our paper is closely related to the trend and volatility of China’s CPI.

Key words: Pork Price, Asymmetry, CPI, GARCH