宏观不确定性与资产价格的波动溢出效应研究——基于金融时间序列波动性模型油脂类农林产品期货价格分析  

Research on macro uncertainty and volatility spillover effect of asset prices——analysis of futures prices for oil and fat agricultural and forestry products based on VAR-BEKK-GARCH model

作　　者：周秀莲 ZHOU Xiulian(Fujian Business University,Fuzhou 350002)

机构地区：[1]福建商学院,福州350002

出　　处：《林业经济》2024年第5期49-63,共15页Forestry Economics

基　　金：福建省自然科学基金面上项目“经济政策不确定性对中国A股特质波动的影响机理、传染效应与对策研究”(2022Jo1986)。

摘　　要：近年来,国内外经济环境的不确定性对中国期货类金融市场影响越来越显著。研究油脂类农林产品期货市场的波动溢出影响,对加速农林产品金融化和防范系统性金融风险、凸显农林产品期货市场管理价格风险的作用等具有重要意义。文章利用中国2018—2023年棕榈油、豆油和菜油农产品期货指数的月度数据,上证综合指数的月度数据以及PPI、EPU、PMI月度数据的宏观经济数据,以经济政策不确定性、证券市场、期货市场的作用路径,构建VAR-BEKK-GARCH模型考察宏观不确定性对棕榈油等油脂类农林产品期货价格的传导关系和风险波动溢出效应变化。结果表明:(1)油脂类农林产品期货价格具有显著的波动溢出效应,且通常是该波动溢出的风险传递者;从描述性统计结果的Jarque-Bera统计量来看,在显著性水平为5%时,三种油脂类农林产品期货指数收益率分别为496.39、975.02和647.07,指数变化率序列都不服从正态分布。(2)油脂类农林产品期货价格波动对中国金融市场的影响程度最强;指数收益率的一阶滞后项系数在5%的显著性水平上均显著。(3)在极端事件冲击下,油脂类农林产品期货价格对中国期货价格波动的依赖性较强,并表现出明显的时变特征。基于研究结论提出政策启示:政策制定者应借助溢出效应的分析结果,采取相应的监管和干预措施,维护市场的健康发展。金融监管部门应对中国农林产品期货市场建立风险监控、预警机制,有效防范系统性风险。In recent years,the uncertainty of the domestic and international economic environment has had an increasingly significant impact on China's futures financial markets.Studing volatility spillover effect of the futures market for oil and fat agricultural and forestry products is of great significance in accelerating the financialization of agricultural and forestry products and preventing systemic financial risks,and highlighting the role of managing price risks in the agricultural and forestry products futures market.This article used monthly data on agricultural futures indices for palm oil,soybean oil and rapeseed oil from 2018 to 2023,monthly data on the SSE Composite Index,and monthly macroeconomic data on PPI,EPU and PMI.Based on the path of economic policy uncertainty,securities market and futures market,a VAR-BEKK-GARCH model was constructed to examine the transmission relationship of macro uncertainty on futures prices for oil and fat agricultural and forestry products and changes in risk volatility spillover effect.The results showed that:(1)Futures prices for oil and fat agricultural and forestry products had a significant spillover effect,and were usually the risk carriers of this spillover effect.According to the Jarque-Bera statistic of descriptive statistics,at a significance level of 5%,the returns of the three oil and fat agricultural and forestry products futures indices were 496.39,975.02 and 647.073,respectively,and none of index change rates obeyed a normal distribution.(2)Futures price volatility of oil and fat agricultural and forestry products had the strongest degree of impacton China's commodity market.At a confidence level of 5%,the first order lag coefficients of the index return were significant.(3)Under the shock of extreme events,the futures prices of oil and fat agricultural and forestry products were more dependent on the fluctuations of Chinese futures prices and exhibited obvious time-varying characteristics.Based on research findings,relevant policy implications were proposed:Po

关 键 词：油脂类农林产品期货 波动溢出效应 VAR-BEKK-GARCH模型 

分 类 号：F323.7[经济管理—产业经济] F724.5F224