| 摘要: |
| 基于2004年9月-2016年11月我国经济政策不确定性指数和大豆、小麦、玉米期货价格指数，运用时变参数向量自回归模型（TVP-VAR）分析经济政策不确定性对我国主要粮食期货价格波动的影响。研究发现：我国粮食期货价格受到经济政策不确定性的冲击，但不同品种间存在明显差异；2008年金融危机、2011年后危机时代及2015年股票灾难三个时期的经济政策不确定性对粮食期货价格呈现正负交替的冲击态势，冲击响应速度快，持续时间长，影响在12期后仍然存在。 |
| 关键词: 粮食期货价格 经济政策不确定性 时变参数 TVP-VAR |
| DOI：10.11841/j.issn.1007-4333.2018.02.23 |
| 投稿时间：2017-04-14 |
| 基金项目:国家自然科学基金项目（71673103）；国家自然科学基金青年项目（71703049）；教育部人文社会科学研究青年基金（17YJC790173） |
|
| Influence of economic policy uncertainty on the price fluctuation of China's grain futures |
|
TIAN Qingsong, XIAO Xiaoyong, LI Chongguang
|
| (College of Economic & Management, Huazhong Agricultural University, Wuhan 430070, China) |
| Abstract: |
| Based on the economic policy uncertainty index and the price index of the soybean,wheat and corn futures of China from September 2004 to November 2016,the time-varying parameter vector autoregressive model (TVP-VAR) is used to analyze the impact of economic policy uncertainty on the main grain futures price fluctuations.The results showed that China's grain futures price was affected by the economic policy uncertainty,but there were significant differences between different varieties.During global financial crisis,the post-crisis era and stock catastrophe,the economic policy uncertainty displayed positive and negative alternation shock of grain futures prices.The shock response was fast and the duration was long,and the influence still existed after the 12th period. |
| Key words: grain futures price economic policy uncertainty time-varying parameter TVP-VAR |
