经济政策不确定性对我国大豆产业链价格波动的影响  

The influence of economic policy uncertainty on China’s soybean industry chain futures price fluctuation

作　　者：刘望[1] 于尊 崔宁波[1] LIUWang;YU Zun;CUI Ning-bo(College of Economics and Management,Northeast Agricultural University,Harbin 150030,China)

机构地区：[1]东北农业大学经济管理学院,哈尔滨150030

出　　处：《南方农业学报》2020年第8期2037-2043,共7页Journal of Southern Agriculture

基　　金：黑龙江省社会科学基金项目(19JYB022)。

摘　　要：【目的】研究经济政策不确定性(EPU)对大豆产业链期货价格的影响,为制定稳定粮食期货价格政策,实现粮食安全提供理论依据。【方法】基于2006年1月—2019年6月我国EPU指数及大豆、豆粕和豆油期货价格数据,构建TVP-VAR模型,探究EPU对我国大豆产业链期货价格波动的影响。【结果】从脉冲响应分析结果来看,我国大豆、豆粕和豆油期货价格均受到EPU不同程度的负面影响,且响应均快速、剧烈,具有持续性和周期性特征;同时,随着响应期数的延长,响应程度逐渐减弱,并趋于平稳。在金融危机(2008年)、欧债危机(2011年)、股市危机(2016年)及中美贸易摩擦(2018年)4个时期,EPU对大豆、豆粕和豆油期货价格的冲击力度不同,主要产生负向作用,后期均呈现正负交替的冲击趋势,且在滞后0~4期所产生的冲击波动较大,但随着滞后期的延长,影响逐渐减小。相对于3个危机时期,2018年中美贸易摩擦时期EPU对大豆及其相关产品期货价格的短期冲击较大,影响较深。【建议】为更好地应对危机时期EPU对大豆产业链期货价格的冲击,我国应充分利用国际市场,积极参与国际合作,拓宽大豆进口来源渠道,并建立农产品期货市场信息共享机制,稳定期货市场,加强政府宏观调控,确保政策的及时性和有效性。【Objective】To study the impact of economic policy uncertainty(EPU)on soybean industry chain futures prices,and provide a theoretical basis for formulating policies to stabilize grain futures prices to achieve food security.【Method】Based on EPU index of China and soybean,soybean meal,and soybean oil futures price data from January,2006 to June,2019,a TVP-VAR model was constructed to explore the impact of EPU on soybean industry chain futures price fluctuations influences in China.【Result】From the results of the impulse response,soybean,soybean meal and soybean oilfutures prices of China have all been negatively affected by the EPU,and the responses were fast,violent,and had continuous and cyclical characteristics.At the same time,as the number of response periods prolonged,the response intensity gradually weakened and stabilized.In the four periods of financial crisis(2008),European debt crisis(2011),stock market crisis(2016)and Sino-US trade friction(2018),EPU had different impacts on soybean,soybean meal and soybean oil futures prices,mainly having a negative effect,and all of them alternated between positive and negative.The impact trend of the lagging 0-4 periods was relatively large,but with the extension of the lag period,the impact gradually deceased.Compared with the previous three crisis periods,the EPU of Sino-US trade friction in 2018 had a greater short-term impact on the futures prices of soybeans and related products,and there was no contradiction to the known due to the short period of occurrence.【Suggestion】In order to better respond to the impact of EPU on the futures prices of the soybean industry chain during the crisis,China should make full use of the international market,actively participate in international cooperation,broaden the source of soybean imports,and establish an agricultural futures market information sharing mechanism to stabilize futures market,strengthen government macro-control,and ensure the timeliness and effectiveness of policies.

关 键 词：大豆 产业链 经济政策不确定性(EPU) 中美贸易摩擦 TVP-VAR 价格波动 

分 类 号：S565.1[农业科学—作物学] F323.7[经济管理—产业经济]