Economic policy uncertainty,financialization and agricultural futures prices
Based on the financial attributes of commodities,this paper selects the monthly data from January 2014 to October 2023,constructs a commodity financialization index,and uses BDS test,DCC-MGARCH model,and TVP-VAR model to study the dynamic evolution relationship and transmission mechanism of agricultural futures prices under the impact of economic policy uncertainty.The results show that when facing the impact of economic policy uncertainty,agricultural futures prices exhibit significant nonlinear time-varying fluctuations,among which the financialization of commodities is an important transmission mechanism of economic policy uncertainty affecting the fluctuations on agricultural futures prices.
万方数据
维普
