《保险研究》20220506-《猪粮比价变化特征的混合分析模型及实证研究》（郑苏晋、陈畅、左明慧）

［摘   要］本文基于集成经验模态分解算法和迭代累积平方和算法相结合的混合分析模型，分解出不同时间尺度的猪粮比价分量序列，再分别进行结构变点检验并结合外部事件进行分析。结果表明，猪粮比价主要受短期自调周期、经济周期、中长期变动以及长期趋势项的影响，其中长期趋势模态和中长期变动模态影响最大；外部事件会对不同周期的模态造成影响，其中政府政策以及重大行业事件主要对猪粮比价的经济周期和中长期变动产生影响，而生猪疫情的影响在各个模态中均有体现。最后，本文针对如何稳定猪粮比价的波动从政府、行业协会和保险公司三个层面给出了建议。

［关键词］猪粮比价；EEMD算法；ICSS算法

［作者简介］郑苏晋,中央财经大学保险学院精算科学系主任、教授；陈畅,中央财经大学保险学院硕士研究生；左明慧,中央财经大学保险学院硕士研究生。

Mixed Analysis Model and Empirical Study on the Variation Characteristics of Price Ratio of Hog to Grain

ZHENG Su-jin,CHEN Chang,ZUO Ming-hui

Abstract：In this paper,Ensemble Empirical Mode Decomposition (EEMD) algorithm and Iterated Cumulative Sums of Squares (ICSS) algorithm were combined to form the hybrid analysis model.The paper first decomposed the hog to grain price ratio component series with different time scales,and then it conducted structural change point test and external event analysis respectively.The results show that the price ratio of hog to grain is mainly affected by the short-term self-regulation cycle,economic cycle,medium and long-term changes and long-term trend items,among which the long-term trend mode and the medium and long-term change mode have the greatest impacts.External events have an impact on the mode of different cycles,among which the government policy and major industry events mainly affect the economic cycle and medium and long-term changes of hog-grain price ratio,and the impact of hog epidemic is reflected in all modes.Finally,some suggestions are given on how to stabilize the fluctuation of the price ratio of hog to grain from the perspective of government,industry associations and insurance companies.

Key words：price ratio of hog to grain;EEMD algorithm;ICSS algorithm