经济政策不确定性对大豆期货市场高质量发展的影响研究——基于TVP-VAR和TVP-VAR-DY模型  

A Research on the Impact of Economic Policy Uncertainty on the High-Quality Development of Soybean Futures Market——Based on TVP-VAR and TVP-VAR-DY models

作　　者：高祥晓 卢秀茹[1] GAO Xiangxiao;Lu Xiuru

机构地区：[1]河北农业大学经济管理学院

出　　处：《金融监管研究》2024年第4期94-114,共21页Financial Regulation Research

基　　金：国家社会科学基金项目“村镇银行‘支农支小’的治理制度适应性、经营效率与风险关系研究”(项目编号:20BJY156)的资助。

摘　　要：期货市场高质量运行是其有效发挥价格发现和风险规避功能的前提。面对经济政策调整带来的不确定性,大豆期货市场能否有效抵御冲击,确保自身高质量运行显得极为重要。本文基于2000年1月—2022年6月经济政策不确定性指数和大豆期货市场数据,运用非线性Granger因果检验、TVP-VAR和TVP-VAR-DY等方法,从方向和水平两个维度分析了经济政策不确定性对大豆期货市场质量的影响。研究表明:(1)经济政策不确定性为大豆期货市场质量的非线性格兰杰原因;(2)经济政策不确定性对大豆期货市场质量具有反向影响;(3)经济政策不确定性对大豆期货市场质量的影响水平具有显著的时变特征,且易受政策调整和突发事件影响;(4)贸易政策不确定性对大豆期货市场质量的影响水平最高,其后依次为财政政策、货币政策、汇率及资本项目政策。基于以上研究结论,本文提出应保持政策连续性、建立配套的市场风险监测体系以及完善衍生品市场建设的建议,以促进大豆期货市场的高质量发展。The high-quality operation of the futures market is an prerequisite for its price discovery and risk avoidance functions.Faced with the uncertainty brought about by economic policy adjustments,it is extremely important for the soybean futures market to effectively resist shocks and ensure its high-quality operation.This paper is based on the Economic Policy Uncertainty Index and soybean futures market data in China from January 2000 to June 2022.Nonlinear Granger causality tests,TVP-VAR,and TVP-VAR-DY methods are used to analyze the impact of economic policy uncertainty on the quality of the soybean futures market from both directional and horizontal dimensions.Research has shown that:(1)Economic policy uncertainty is a nonlinear Granger cause of the quality of the soybean futures market;(2)Economic policy uncertainty has a reverse effect on the quality of the soybean futures market;(3)The impact of economic policy uncertainty on the quality of the soybean futures market has significant time-varying characteristics and is susceptible to policy adjustments and unexpected events;(4)The impact of trade policy uncertainty on the quality of the soybean futures market is highest,followed by fiscal policy,monetary policy,exchange rate,and capital account policy.Based on the above research conclusions,this paper proposes countermeasures and suggestions to maintain policy continuity,establish a supporting market risk monitoring system,and improve the construction of derivative markets to promote the high-quality developmentof thesoybeanfutures market.

关 键 词：经济政策不确定性 大豆期货 市场质量 

分 类 号：F832[经济管理—金融学]