国际粮食期货价格波动及其影响研究——引入GEPU指数对粮食期货价格影响的分析

Research on the fluctuation of international food futures prices and their impact——The introduction of GEPU index futures impact on food prices

粮食期货具有价格发现功能。本文以2008年4月至2020年6月国际大豆、小麦、玉米期货价格指数为样本,运用时变参数向量自回归模型(TVP-VAR),分析国际粮食期货价格波动及其影响。研究发现:引入GEPU指数后,国际粮食期货价格受到其增强的负向冲击,并且不同粮食期货价格受到的冲击存在差异性。大豆受到冲击响应最剧烈、持续性最久;小麦、玉米由于时滞的存在,期初开始会有正向冲击的可能,但随后出现了负向冲击。

Food futures have the function of price discovery.In this paper, from April 2008 to June 2008, price indexes of the domestic and international food futures,such as Soybeans, wheat, corn futures, as samples,using TVP-VAR model,analyzing the impact of global economic uncertainty on food futures prices with price index data.The study found that the international food futures prices were negatively impacted by the global economic uncertainty;there was different effects of the impact of different food futures prices;the price of soybean future is subject to the most intense and long-lasting impact;due to time lag, early wheat and corn futures will begin to be hit forward, but the negative shock will then be.