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茧丝绸产业拥有典型的垂直关联产业链。为了较为系统地研究中国茧丝绸产品垂直关联价格波动规律和传递模式(传递方向、幅度、时间等),首先根据1990—2013年鲜茧、干茧、生丝、坯绸和丝绸服装的年度价格数据,运用简单相关系数、变异系数和HP滤波法进行描述性分析,揭示中国茧丝绸产业链上各级产品的价格波动规律,然后通过格兰杰因果检验、向量自回归模型、脉冲响应函数、方差分解刻画茧丝绸产品的价格传递方向、强度和时滞,并检验茧丝绸产品垂直关联价格传递的对称性。研究结果显示,中国茧丝绸产品垂直关联价格间存在一定的相关性,鲜茧价格波动性最强,随产业链后向传递的干茧、生丝和坯绸价格波动性逐渐减弱,但丝绸服装价格波动较大,仅次于鲜茧价格;茧丝绸垂直关联产品间的价格波动只是茧、丝、坯绸顺次波动传递,而以丝绸服装为代表的制成品定价与茧、丝、坯绸的定价各环节脱节;从传递的幅度和反应的时滞看,鲜茧、干茧、生丝和坯绸垂直关联价格呈现相互间传递的非对称性。
Cocoon silk industry has a typical vertical chain of related industries. In order to systematically study the vertical price fluctuation and transmission mode (transmission direction, amplitude, time and so on) of China’s cocoon silk products, based on the annual price data of fresh cocoon, dried cocoon, raw silk, silk and silk from 1990 to 2013 , Using descriptive analysis of simple correlation coefficient, coefficient of variation and HP filter to reveal the price fluctuation law of all levels of Chinese cocoon and silk industry chain, and then through the Granger causality test, vector autoregressive model, impulse response function, variance Decomposition depicts the price of cocoon silk product delivery direction, strength and time lag, and test the vertical correlation of cocoon silk product price transfer symmetry. The results show that there is a certain correlation between the vertical related prices of Chinese cocoon and silk products, the price of fresh cocoon is the most volatile, and the price fluctuation of dry cocoon, raw silk and blank silk is gradually weakened with the backward transmission of the industrial chain. However, the price of silk garments Fluctuating, second only to the price of fresh cocoon; the price fluctuation among the vertically related products of cocoon silk is only the order of fluctuation of cocoon, silk and blank silk, while the pricing of finished products represented by silk garments and the price of cocoon, silk and silk From the perspective of the magnitude of the transfer and the lag of the reaction, the prices of fresh cocoons, dried cocoons, raw silk and gray silk were vertically asymmetric.