Please wait a minute...
Journal of Integrative Agriculture  2015, Vol. 14 Issue (6): 1115-1121    DOI: 10.1016/S2095-3119(14)60994-1
Section 4: Price Dynamics Advanced Online Publication | Current Issue | Archive | Adv Search |
Nonlinear dynamics of pork price in China
ZHAO  Guo-qing, WU  Qiong
School of Economics, Renmin University of China, Beijing 100872, P.R.China
Download:  PDF in ScienceDirect  
Export:  BibTeX | EndNote (RIS)      
摘要  This paper primarily analyzes the evolution path of China’s pork price by employing the threshold autoregression model (TAR). Considering the unit root test with a threshold effect and heteroskedasticity of the TAR model, we show that the pork price series is a unit root process in each regime, and the heteroskedasticity in the TAR model greatly affects the results of linearity test. We find that the changing process of pork price has two regimes: mild regime and expansion regime. In particular, a change belongs to an expansion regime if it is larger than 0.5881; otherwise, it falls in the mild regime.

Abstract  This paper primarily analyzes the evolution path of China’s pork price by employing the threshold autoregression model (TAR). Considering the unit root test with a threshold effect and heteroskedasticity of the TAR model, we show that the pork price series is a unit root process in each regime, and the heteroskedasticity in the TAR model greatly affects the results of linearity test. We find that the changing process of pork price has two regimes: mild regime and expansion regime. In particular, a change belongs to an expansion regime if it is larger than 0.5881; otherwise, it falls in the mild regime.
Keywords:  pork price       heteroskedasticity       TAR unit root  
Received: 23 July 2014   Accepted:
Fund: 

This study was supported by the Fundamental Research Funds for the Central Universities and the Research Funds of Renmin University, China (12XNK015).

Corresponding Authors:  ZHAO Guo-qing, Tel: +86-10-82500714,Fax: +86-10-62511091, E-mail: zhaogq@ruc.edu.cn; WU Qiong,E-mail: wuqiong1987@hotmail.com     E-mail:  zhaogq@ruc.edu.cn; wuqiong1987@hotmail.com

Cite this article: 

ZHAO Guo-qing, WU Qiong. 2015. Nonlinear dynamics of pork price in China. Journal of Integrative Agriculture, 14(6): 1115-1121.

Andrews D W K. 1993. Tests for parameter instabilityand structural change with unknown change point.Econometrica, 61, 821-856

Bai J 1997. Estimating multiple breaks one at a time.Econometric Theory, 13, 315-352

Bai J, Perron P. 1998. Estimating and testing linear modelswith multiple structural changes. Econometrica, 66, 47-78

Balke N S, Fomby T B. 1997. Threshold cointegration.International Economic Review, 38, 627-645

Caner M, Hansen B E. 2001. Threshold autoregression with aunit root. Econometrica, 69, 1555-1596

Chan K S. 1993. Consistency and limiting distribution of the leastsquares estimator of a threshold autoregressive model.Annals of Statistics, 21, 520-533

Davies R B. 1977. Hypothesis testing when a nuisanceparameter is present only under the alternative. Biometrika,64, 247-254

Davies R B. 1987. Hypothesis testing when a nuisanceparameter is present only under the alternative. Biometrika,74, 33-43

Enders W, Granger C W J. 1998. Unit-root tests and asymmetricadjustment with an example using the term structure ofinterest rates. Journal of Business & Economic Statistics,16, 304-311

Enders W. 2001. Improved critical values for the Enders-Granger unit-root test. Applied Economics Letters, 8,257-261

Feng M. 2013. The asymmetric volatility of pork price and itsimpact on CPI. Statistical Research, 8, 63-68 (in Chinese)

Hansen B E. 1996. Inference when a nuisance parameter isnot identified under the null hypothesis. Econometrica, 64,413-430

Hansen B E. 1997. Inference in TAR models. Studies inNonlinear Dynamics and Econometrics, 2, 1-14

Hu X, Wang J. 2010. Threshold effects of China’s porkprice index and policy analysis. Journal of AgrotechnicalEconomics, 7, 13-21 (in Chinese)

Li B, He Q. 2007. Analysis on the short-term fluctuations ofpork price and its reasons in China. Issues in AgriculturalEconomy, 10, 18-21 (in Chinese)

Luo W, Liu R. 2011. Analysis of meat price volatility in China.China Agricultural Economic Review, 3, 402-411

Pippenger M K, Goering G E. 1993. A note on the empiricalpower of unit root tests under threshold processes. OxfordBulletin of Economics and Statistics, 55, 473-481

Tong H. 1990. Non-linear Time Series: A Dynamical SystemApproach. Oxford University Press, Oxford. pp. 194-197

Tsay R S. 1989. Testing and modeling threshold autoregressiveprocesses. Journal of the American Statistical Association,84, 231-240

Tsay R S. 2002. Analysis of Financial Time Series. John Wileyand Sons, New York. pp. 129-133

Wang J, Qian X, Chen Y. 2014. Research on asymmetric pricetransmission in the pig industry chain: Empirical analysisbased on threshold error correction model. Journal ofAgrotechnical Economics, 2, 85-95 (in Chinese)

Xin X, Tan X. 1999. Measure of factors influencing volatility ofChinese pigs and pork price. Chinese Rural Economy, 5,28-34 (in Chinese)

Xu X. 2008. The causes of pork prices increase and its impacton macroeconomic. Journal of Agrotechnical Economics,3, 4-9 (in Chinese)

Yang C, Xu X. 2011. Asymmetric transfer of Chinese hog andpork prices. Journal of Agrotechnical Economics, 9, 58-64(in Chinese)

Yu A, Zheng S. 2013. Research on the asymmetric price transferin China’s pork industry chain. Journal of AgrotechnicalEconomics, 9, 35-41 (in Chinese)

Yu X H. 2014. Monetary easing policy and long-run food prices:Evidence from China. Economic Modelling, 40,175-183

Yu X H, Abler D. 2014. Where have all the pigs gone?Inconsistencies in pork statistics in China. China EconomicReview, 30, 469-484
No related articles found!
No Suggested Reading articles found!