重大突发公共事件下投资者情绪和货币政策对中国农产品价格的传导效应——以新冠肺炎疫情为例

Transmission Effect of Investor Sentiment and Monetary Policy on China’s Agricultural Products Prices under Major Public Emergencies:Evidence from the COVID-19

以新冠肺炎疫情为例,以投资者情绪和货币政策为两大传导渠道构建SV-TVP-VAR模型,实证分析重大突发公共事件对中国农产品价格的影响及其异质性特征。结果表明:总体而言,新冠肺炎疫情下投资者情绪和货币政策对中国农产品价格产生了重要的传导效应,且该效应在不同渠道、时点及品种上存在差异。从不同渠道来看,新冠肺炎疫情通过货币政策渠道对中国农产品价格的影响大于投资者情绪渠道,在货币政策渠道中,货币供应量冲击的传导作用强于利率冲击;从不同时点来看,新冠肺炎疫情下两大渠道对中国农产品价格的传导效应在疫情高发期和恢复期大于初发期;从不同品种来看,油料和粮食价格所受影响大于畜产品和棉糖价格所受影响。为缓解重大突发公共事件的不利冲击,政府部门应建立有效的信息发布平台,并采取阶段性、差异化的调控手段。

Changes in the price of agricultural products are related to national economic development and social stability.Compared with previous public emergencies,COVID-19 has caused unprecedented shocks to China’s agricultural products market due to its rapid transmission,wide infection range,and great uncertainty,complexity and destructiveness.With the continuous spread of COVID-19,the economic and financial environment in China has undergone important changes,of which the obvious changes are reflected in the aspects of investor sentiment and macro-control.The high uncertainty of the pandemic situation easily leads to fluctuations in investor sentiment.The national monetary policy also makes a series of responses,thus resulting in volatility in the agricultural products market.Taking COVID-19 as an example,this paper selects the comprehensive agricultural product price index and ten representative agricultural products such as oil crops,grain and animal by-products as the research subject,and constructs the SV-TVP-VAR model which involves investor sentiment and monetary policy as two transmission channels.On this basis,it empirically analyzes the impact of major public emergencies on China’s agricultural product prices,as well as their heterogeneous characteristics.Research results show that investor sentiment and monetary policy have important transmission effects on China’s agricultural product prices under the shock of COVID-19,and the effects are heterogeneous across transmission channels,periods,and varieties.Firstly,COVID-19 has a greater impact on agricultural product prices through monetary policy than through investor sentiment.Concerning the monetary policy,the transmission effect of monetary supply shocks is stronger than that of interest rate shocks.Secondly,the transmission effect of the two channels during the high occurrence and recovery periods of COVID-19 is greater than that during the incipient period.Finally,prices of oil crops and grain are more affected than prices of animal by-products as well as cotton and sugar,which is related to the differences in supply and demand elasticity,degree of financialization,trade pattern,and industrial policy of various categories.The marginal contribution of this paper is reflected in four aspects.(1)It empirically studies the impact of COVID-19 on China’s agricultural products market,which enriches empirical literature in related fields.(2)It takes investor sentiment and monetary policy as two channels,and quantitatively analyzes the transmission effect of the two channels on China’s agricultural product prices under the shock of COVID-19 within a unified framework,which helps to reveal the impact mechanism of the pandemic.(3)It subdivides the development stage of COVID-19 and investigates the dynamic responses of agricultural product prices from the perspectives of different periods and different time points via the nonlinear SV-TVP-VAR model.(4)It selects a variety of agricultural products for comparative analysis to reveal the heterogeneity under the shock of the pandemic.This paper has implications for alleviating the adverse impacts of major public emergencies on the agricultural products market and guaranteeing national food security.Based on the empirical results,this paper proposes that the government should establish an efficient information release platform to guide public expectations reasonably and launch monetary policy timely and appropriately to make phased and differentiated targeted regulation,which can help to stabilize the price of agricultural products.