中国农业大学学报2018，Vol.23Issue(2)：204-212,9.DOI:10.11841/j.issn.1007-4333.2018.02.23
经济政策不确定性对我国粮食期货价格波动的影响研究
Influence of economic policy uncertainty on the price fluctuation of China's grain futures
摘要
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.关键词
粮食期货价格/经济政策不确定性/时变参数/TVP-VARKey words
grain futures price/economic policy uncertainty/time-varying parameter/TVP-VAR分类
管理科学引用本文复制引用
田清淞,肖小勇,李崇光..经济政策不确定性对我国粮食期货价格波动的影响研究[J].中国农业大学学报,2018,23(2):204-212,9.基金项目
国家自然科学基金项目(71673103) （71673103）
国家自然科学基金青年项目(71703049) （71703049）
教育部人文社会科学研究青年基金(17YJC790173) （17YJC790173）
