Study on quantile heterogeneity effect of external uncertainty on pig price
Hurst index of pig price indicates that due to unexpected events,there is a turning point in the partial correlation of the price series,and the trend of price fluctuation will be reversed.Using the grey correlation-entropy weight method to calculate external uncertainty indicator,starting from nonlinear and asymmetric perspectives,based on monthly data from February 2009 to May 2023,a quantile regression model is constructed to study the heterogeneity effect of different degrees of external uncertainty on pig price.The results indicated that external uncertainty had a heterogeneous and persistent impact on pig price,and the impact effect varies with different quantiles,with positive and negative effects.QR showed that this impact had an'inverted U-shaped'nonlinear threshold effect,and only when the uncertainty level exceeds the threshold value(when q=0.6,the EP coefficient is 4.767)does it had a significant positive effect on the fluctuation of pig price.The QQR model indicated that there was also a significant asymmetry in this impact,which was caused by the superposition effect of endogenous driving and external shock from supply and demand factors.The above research indicates that in order to improve the sensitivity of pig market,threshold value can be used as a reference value for major emergency warning.
quantile regression modelpig priceexternal uncertaintyheterogeneity effectinverted U shape
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