湖北工程学院学报2024，Vol.44Issue(1)：76-88,96,14.
地缘政治风险对中国农产品期货收益率的影响研究:基于TVP-VAR-SV模型的分析
The Impact of Geopolitical Risks on Agricultural Commodity Future Returns in China:Analysis Based on the T VP-VAR-SV Model
摘要
Abstract
This paper employs the TVP-VAR-SV model to explore the time-varying impact of geo-political risks(China and the United States)on the agricultural commodity futures'returns in China.The research findings indicate that in the short term,geopolitical risks have a significant effect on the agricultural commodity future returns.While in the medium or long term,the volatility of agricultural commodity future returns is relatively smaller.Different agricultural commodity futures exhibit var-ying responses to the shock of geopolitical risks with soybean and soybean meal returns experiencing the most significant fluctuations.However,the other six agricultural commodity futures show the cy-clical patterns.Three extreme events,namely the Crimea crisis,the US-China trade frictions and the global COVID-19 pandemic have negative impact on the agricultural commodity future market in dif-ferent periods.Moreover,the shocks of geopolitical risks exhibit lags and heterogeneity to different future contracts.关键词
地缘政治风险/农产品期货/收益率/TVP-VAR-SV模型Key words
geopolitical risks/agricultural commodity futures/returns/TVP-VAR-SV model分类
管理科学引用本文复制引用
郭鹏,王宁博..地缘政治风险对中国农产品期货收益率的影响研究:基于TVP-VAR-SV模型的分析[J].湖北工程学院学报,2024,44(1):76-88,96,14.基金项目
国家社科基金青年项目(21CGJ021) （21CGJ021）
河南省科技厅软科学项目(232400411104) （232400411104）
河南工业大学青年骨干教师培育计划资助项目 （）
