经济政策不确定性、投资者情绪与大豆期货价格——基于SVAR模型的实证分析

Economic policy uncertainty,investor sentiment and soybean futures prices——An empirical analysis based on SVAR model

以2010年1月—2019年12月的月度数据为样本,运用主成分分析构建一个与大豆期货市场紧密相关的投资者情绪指数,对经济政策不确定性、投资者情绪与大豆期货价格建立SVAR模型与脉冲响应函数进行实证分析。实证结果表明:经济政策不确定性对投资者情绪与大豆期货价格存在显著的负向效应,投资者情绪对大豆期货价格存在正向效应;经济政策不确定性对大豆期货价格的影响还存在投资者情绪中介效应,且通过投资者情绪对大豆期货的影响比其直接作用于大豆期货的影响程度更大、时间更长。

Based on the monthly data from January of 2010 to December of 2019,this paper uses principal component analysis to construct an investor sentiment index closely related to soybean futures market,and makes an empirical analysis on the uncertainty of economic policy,investor sentiment and soybean futures prices by SVAR model and impulse response function.The empirical results show that economic policy uncertainty has a significant negative effect on investor sentiment and soybean futures prices,and investor sentiment has a positive effect on soybean futures prices,that the impact of economic policy uncertainty on soybean futures prices also has the mediating effect of investor sentiment,and that the impact of investor sentiment on soybean futures is greater and longer than its direct impact on soybean futures.