奶价下跌对牛肉价格下跌的影响——基于TVAR模型及DY溢出指数的实证分析

THE IMPACT OF MILK PRICE DECLINES ON BEEF PRICE DROPS: TVAR-DY EMPIRICAL ANALYSIS

关键词:  牛肉价格下跌  牛奶价格  TVAR模型  DY溢出指数  CPI

Key words:  beef price decline  milk price  TVAR model  DY spillover index  CPI

摘要:

目的 近期牛肉价格的断崖式下跌对我国肉牛产业造成了严重影响，剖析牛肉价格下跌的原因对促进肉牛产业健康发展具有重要意义。2022年以来我国原奶价格一路下滑，这与牛肉价格下跌时间较为吻合，因此文章通过实证模型来探究奶价下跌是否会影响牛肉价格下跌。方法 基于2008年第1周至2024年第23周的牛肉价格、牛奶价格、玉米价格、豆粕价格以及居民消费价格指数（Consumer Price Index，CPI）数据，运用TVAR模型以及DY溢出指数，分析了牛奶价格对牛肉价格的传导路径。结果 （1）牛奶价格下跌会显著影响牛肉价格下跌，且影响程度取决于CPI所处的区间；（2）当CPI环比下降超0.10%时，牛奶价格对牛肉价格的短期冲击更强，牛奶价格下跌对牛肉价格影响更为显著；玉米价格与豆粕价格对牛肉价格的冲击则有所减弱；（3）当CPI环比下降超0.10%时，牛奶价格对牛肉价格波动的平均贡献程度增加11.89%。结论 奶价下跌会通过加速低产奶牛淘汰，进而增加牛肉供给影响牛肉价格下跌；当需求疲软时，牛奶价格对牛肉价格的冲击效应更加显著。

Abstract:

The recent precipitous decline in beef prices has had a severe impact on China's beef industry. Analyzing the causes of this price drop is crucial for promoting the healthy development of the beef sector. Since 2022, the price of raw milk in China has been on a downward trajectory, coinciding with the decline in beef prices. This study employed an empirical model to investigate whether the decline in milk prices has influenced the fall in beef prices. And using weekly data on beef prices, milk prices, corn prices, soybean meal prices, and the Consumer Price Index (CPI) from the first week of 2008 to the 23rd week of 2024, it utilized the Threshold Vector Autoregression (TVAR) model and Diebold-Yilmaz (DY) spillover index to analyze the transmission path of milk prices to beef prices. The findings were showed as follows. (1) A decline in milk prices significantly affected the decline in beef prices, with the degree of impact depending on the CPI range; (2) When the month-on-month CPI decreased by more than 0.10%, the short-term impact of milk prices on beef prices was stronger, with a more pronounced effect of milk price declines on beef prices, while the impact of corn and soybean meal prices on beef prices weakened; (3) When the month-on-month CPI decreased by more than 0.10%, the average contribution of milk prices to beef price volatility increased by 11.89%.Therefore, the decline in milk prices accelerates the culling of low-yield dairy cattle, thereby increasing beef supply and contributing to the decline in beef prices. The impact of milk prices on beef prices is more significant when demand is weak.