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 TVP-VAR-SV Model

作　　者：郭鹏 王宁博 Guo Peng;Wang Ningbo(School of Economics and Trade,Henan University of Technology,Zhengzhou,Henan 450001,China)

机构地区：[1]河南工业大学经济贸易学院,河南郑州450001

出　　处：《湖北工程学院学报》2024年第1期76-88,96,共14页Journal of Hubei Engineering University

基　　金：国家社科基金青年项目(21CGJ021);河南省科技厅软科学项目(232400411104);河南工业大学青年骨干教师培育计划资助项目。

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。This paper employs the TVP-VAR-SV model to explore the time-varying impact of geopolitical 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 varying 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 cyclical 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 different 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 

分 类 号：F323.7[经济管理—产业经济]