地缘政治风险对中国农产品期货收益率的影响研究:基于TVP-VAR-SV模型的分析
The Impact of Geopolitical Risks on Agricultural Commodity Future Returns in China:Analysis Based on the T VP-VAR-SV Model
郭鹏 1王宁博1
作者信息
- 1. 河南工业大学经济贸易学院,河南郑州 450001
- 折叠
摘要
本文使用TVP-VAR-SV模型,探讨中美地缘政治风险对中国农产品期货收益率的时变影响.研究结果表明:在短期内,地缘政治风险对农产品期货收益率的影响较为明显,而在中长期内,农产品期货收益率波动相对较小.不同农产品期货对地缘政治风险冲击反应不同,大豆、豆粕收益率受到地缘政治风险冲击波动最激烈,其他六种农产品期货则呈现出周期性特点.克里米亚事件、中美贸易摩擦和全球新冠疫情,三个不同时期的极端事件对农产品期货市场具有负向影响,不同期货品种受到的冲击存在异质性与滞后性.
Abstract
This paper employs the TVP-VAR-SV model to explore the time-varying impact of geo-political risks(China and the United States)on the agricultural commodity futures'returns in China.The research findings indicate that in the short term,geopolitical risks have a significant effect on the agricultural commodity future returns.While in the medium or long term,the volatility of agricultural commodity future returns is relatively smaller.Different agricultural commodity futures exhibit var-ying responses to the shock of geopolitical risks with soybean and soybean meal returns experiencing the most significant fluctuations.However,the other six agricultural commodity futures show the cy-clical patterns.Three extreme events,namely the Crimea crisis,the US-China trade frictions and the global COVID-19 pandemic have negative impact on the agricultural commodity future market in dif-ferent periods.Moreover,the shocks of geopolitical risks exhibit lags and heterogeneity to different future contracts.
关键词
地缘政治风险/农产品期货/收益率/TVP-VAR-SV模型Key words
geopolitical risks/agricultural commodity futures/returns/TVP-VAR-SV model引用本文复制引用
基金项目
国家社会科学基金青年项目(21CGJ021)
河南省科技厅软科学研究计划(232400411104)
河南工业大学青年骨干教师培育计划()
出版年
2024
国家科技期刊平台
NSTL
维普
万方数据