基于GSADF方法对中国猪肉价格多重泡检验

北京理工大学珠海学院2020届本科生毕业论文Testing for Multiple Bubbles in Chinese Pork Prices:Based onGSADF testAbstractChina's pork production and consumption are the highest around the world,therebysoaring pork prices not only curb the financial and economic development,but also harassthe social order.This paper rely on the Price Bubble Theory,testing for the existence ofbubbles in the Chinese pork prices from August 2007 to August 2019 using GSADF(Generalized Sup Augmented Dickey-Fuller)method proposed by Phillips,Shi and Yu (2015).The method not only can efficiently and accurately diagnose whether there are multiplebubbles in pork prices,but also can quickly detect the origination and collapse dates ofbubbles,providing empirical evidence for the bubble of pork prices.Results suggest that porkprices have generated multiple bubbles in the entire inspection time zone.In the meantime,changes in hog farming models,animal epidemics,currency over-promotion,andinternational trade conflicts may have led to a bubble in the pork market.Therefore,whenChinese pork prices have skyrocketed or plummeted,using the GSADF method to identifythe multiple-bubble phenomena will help fiscal regulators and policy authorities to provideappropriate regulatory measures in the pork market.Keywords:Pork Prices;Multiple bubbles;SADF test;GSADF test