The Spillover Effect of U.S. Quantitative Easing Policy on the Price Level of China's Pig Industry Chain : An Empirical Study Based on TVP-SV-VAR Model

• 발행기관: ACADEMIC FRONTIERS PUBLISHING GROUP(AFP)
• 저자명: CHEN Ruihua BAI Mengda
• 간행물 정보: 『Journal of Sinological Studies(JSS)』Vol.2 No.3, 11~32쪽, 전체 22쪽
• 주제분류: 인문학 > 역사학
• 파일형태: PDF
• 발행일자: 2025.03.31

국문 초록

The COVID-19 pandemic in 2020 severely impacted the global economy, prompting the U.S. to restart its quantitative easing (QE) policy in March 2020, with significant spillover effects on national economies. This study uses a time-varying parameter vector auto-regressive model with stochastic volatility (TVP-SV-VAR) to analyze the spillover effects of U.S. QE on China’s pig industry chain prices. Results indicate: (1) U.S. QE policies significantly influenced pig industry chain prices. Impulse responses reveal positive impacts on prices, with effects weakening over longer horizons. Live pigs, pork, and piglet prices showed stronger and more consistent responses compared to corn and soybean prices. (2) Four rounds of U.S. QE had varying magnitudes and directions of impact. The fourth round of unlimited QE in 2020 exerted the smallest price effects on the pig industry chain, with divergent impacts across five monitored products. (3) Time-varying transmission patterns existed within the pig industry chain. The study concludes by proposing integrating international monetary policy factors into the pig industry’ s monitoring and early-warning systems to enhance responsiveness. Additionally, structural reforms to reduce reliance on international markets, modernize the industry chain, and promote integrated production-sales operations are recommended to optimize stakeholder benefits.

목차

1 Introduction and Literature Review

2 Data Description and Processing

3 Construction of the TVP-SV-VAR Model

4 Analyses of Empirical Results

5 Conclusions and Implications

References

키워드

Quantitative Easing Price Level Pig Industry Chain Price Spillover Effect TVP-SV-VAR Model