国际油价跳跃对中国农业部门的动态冲击效应  

Dynamic Impact of International Oil Price Jumps on China’s Agricultural Sector

作　　者：邓琪 刘峰 DENG Qi;LIU Feng

机构地区：[1]北方民族大学数学与信息科学学院,宁夏银川750030 [2]湖北经济学院财经高等研究院,湖北武汉430205

出　　处：《中南民族大学学报（人文社会科学版）》2024年第5期171-181,223,共12页Journal of South-Central Minzu University (Humanities and Social Sciences)

基　　金：国家社会科学基金项目“国内外原油市场跳跃发生机理与风险传导机制研究”(23BJY093);湖北省教育厅科学研究计划项目“政策不确定性、动态跳跃与中国大宗商品市场波动率”(2022B140);北方民族大学研究生创新项目“国际油价时变跳跃的冲击效应:基于中国农产品与农业类股市的比较分析”(YCX23090)。

摘　　要：在国际形势日趋复杂严峻、能源战略转型尚在攻坚、国内农产品自给率明显偏低的背景下,本文立足商品与股票市场探究国际油价跳跃对中国农业部门的冲击效应。结果表明,当期油价跳跃显著降低农产品与农业类股市收益,而上期油价跳跃的影响则恰好相反。在控制市场联动及其他潜在因素影响后,结论依然成立。由于商品与股票市场均具有较强的金融属性,这一结论意味着国际油价跳跃会增强市场投机,从而对国内农产品与农业类股市产生动态冲击。因此,在风险预警与调控机制趋于完备、能源结构转型大体完成之前,仍需对国际油价极端震荡保持警惕;而在事关国计民生的农业领域,资本市场对外开放亦需循序渐进,以确保农产品市场与农业类股市相对稳定。Against a backdrop of increasingly complex international situations,ongoing challenges in energy strategy transformation,and a significantly low self-sufficiency rate of domestic agricultural products,this paper investigates the impact of international oil price jumps on China's agricultural sector through the lens of commodity and stock markets.The findings indicate that current oil price jumps significantly reduce the returns on agricultural products and agriculture-related stocks,while the impact of previous oil price jumps shows the opposite effect.These conclusions hold true even after controlling for market linkages and other potential factors.Given the strong financial attributes of both commodity and stock markets,this result suggests that international oil price jumps enhance market speculation,thereby dynamically impacting domestic agricultural products and agriculture-related stock markets.Therefore,until risk warning and regulatory mechanisms are perfected and the energy structure transformation is substantially complete,vigilance against extreme fluctuations in international oil prices is necessary.Moreover,in the agriculture sector,which is crucial for national welfare,a gradual and orderly opening of capital markets is essential to ensure relative stability in the agricultural product market and agriculture-related stock markets.

关 键 词：国际油价跳跃 农业部门 大宗商品 股票市场 

分 类 号：F830.91[经济管理—金融学]