传染病不确定性对大宗商品期货价格波动的非对称影响研究

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中文摘要：新冠疫情的蔓延对各国经济的发展及金融市场的稳定造成了巨大的冲击，在此背景下，量化分析传染病相关不确定信息对大宗商品期货价格波动的冲击，不仅有助于规避投资风险，也有利于安定国民经济生产和人民生活。本文使用新颖的非参数分位数因果关系检验方法，从波动的不同条件分布以及好坏波动角度，分析传染病不确定性对大宗商品期货价格波动的非对称影响;并结合滚动时间窗技术，进一步讨论新冠疫情前后二者间Granger因果关系的动态演变。研究发现，传染病不确定性对大宗商品期货价格波动具有显著的影响，且呈现出明显的非对称特征，例如大宗商品期货市场在中等波动时期表现出了更为强烈的响应，原油、铜、大豆和瘦肉猪期货坏波动比好波动更容易受到传染病不确定性的驱动，而黄金期货则正好相反。更进一步，基于滚动时间窗技术的动态Granger因果关系分析不仅验证了上述结论的稳健性，同时也发现新冠疫情的爆发明显增强了传染病不确定性对原油、铜和黄金期货整体价格波动的风险冲击，以及其对非畜牧类期货商品价格好坏波动的非对称影响。

外文标题：Asymmetric Effects of Infectious Diseases-related Uncertainty on the Volatility of Commodity Futures

外文摘要：The spread of COVID-19 has caused great pressures on the economic development of various countries and the stability of financial markets.In this context,the quantitative analysis for the impact of infec-tious diseases-related uncertainty information on the volatility of commodity futures is not only helpful to avoid investment risks,but also conducive to the stability of economic production and people's lives.A novel nonparametric causality-in-quantiles test method is employed to analyze the asymmetric effects of infectious diseases-related uncertainty on the volatility of commodity futures,from two perspectives of different conditional distributions and good and bad volatility.Combined with the rolling time window technique,the dynamic evolution of their causal relationships before and after the COVID-19 pandemic is further discussed.The empirical results manifest that,infectious diseases-related uncertainty has significant causal effects on the volatility of commodity futures.Meanwhile,their causal relationships show obvious asymmetric features.For example,these commodity futures markets response more strongly to infectious diseases-related uncertainty dur-ing their medium volatility period.The bad volatility of oil,copper,soybeans and lean hog futures is more eas-ily driven by infectious diseases-related uncertainty than their good volatility,while the gold futures is just the opposite.Furthermore,the dynamic causal analysis based on the rolling time window technique not only veri-fies the robustness of above-mentioned findings,but also shows that the outbreak of COVID-19 significantly enhances the impacts of infectious diseases-related uncertainty on the overall volatility of crude oil,copper and gold futures,as well as the asymmetries between the good and bad volatility the four commodity futures other than lean hog futures.

外文关键词：

infectious diseases-related uncertaintycommodity futuresasymmetric effectnonparametric causality-in-quantiles testCOVID-19

作者：

于文华、任向阳、杨坤、魏宇

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作者单位：

成都理工大学商学院,四川成都 610059

云南财经大学统计与数学学院,云南昆明 650221

云南财经大学金融学院,云南昆明 650221

关键词：

传染病不确定性大宗商品期货非对称影响非参数分位数因果检验新冠疫情

基金：

国家自然科学基金项目国家自然科学基金项目云南省高校科技创新团队项目四川省自然科学基金项目四川省高等学校人文社会科学重点研究基地——四川灾害经济研究中心2023年一般项目

项目编号：

719711917167114520190142024NSFSC1051ZHJJ2023YB002

出版年：

2024

DOI：

10.16381/j.cnki.issn1003-207x.2021.0747

中国管理科学

中国优选法统筹法与经济数学研究会中科院科技政策与管理科学研究所

中国管理科学

CSTPCDCSSCICHSSCD北大核心

影响因子：1.938

ISSN：1003-207X

年,卷(期)：2024.32(5)