Study On Price Transmission Mechanism of The Pork Industry Chain ——An Analysis Based on VAR Model

Sifan Wang; Yawen Li; Zengxiang An

doi:10.54097/vmcpdj47

Authors

Sifan Wang
Yawen Li
Zengxiang An

DOI:

https://doi.org/10.54097/vmcpdj47

Keywords:

Pork Industry Chain, Price Fluctuations, VAR Model.

Abstract

Taking a perspective of the upstream and downstream industry chains, this study investigates the factors influencing pork price fluctuations using monthly data from January 2010 to December 2023 in China as the research sample. A series of prices are selected from the upstream, midstream, and downstream segments of the pork industry chain. A panel VAR (Vector Autoregression) model is constructed, and robustness tests are conducted on the model. Specifically, employing methods such as impulse response analysis and variance decomposition of forecast errors, the empirical research examines the relationship between external shocks and price fluctuations at various stages of the pork industry chain. The research findings indicate: there exists long-term cointegration among live pig prices, piglet prices, wheat prices, corn prices, soybean prices, and pork prices; pork prices (downstream industry chain) exhibit both positive and negative feedback in the short term when impacted by prices in the midstream and upstream industry chains, displaying volatile fluctuations. As the time horizon extends, the magnitude of fluctuations decreases and tends towards zero; pork prices are primarily influenced by themselves, as well as live pig, piglet, wheat, and soybean prices.

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