经济政策不确定性对农产品价格的时变冲击效应研究——基于TVP-VAR模型

Research on the Time-varying Impact Effect of Economic Policy Uncertainty on Agricultural Product Prices—Based on TVP-VAR Model

农产品价格波动对国民经济的稳定发展有重要影响,本文基于2011年1月至2020年12月的粮食类、畜肉类和鲜菜类农产品价格数据和中国经济政策不确定性指数,通过构建时变参数向量自回归(TVP-VAR)模型研究经济政策不确定性对农产品价格的影响。实证结果表明:在面对经济政策不确定性冲击时农产品价格波动具有时变特征,呈现出正负交替的走势,而且该影响存在品种、时期和地区上的差异。第一,畜肉类和鲜菜类农产品价格波动幅度明显大于粮食类农产品;第二,随着滞后期的不断增加,经济政策不确定性冲击对农产品价格的影响越来越小;第三,由于不确定性事件的性质不同,2011年欧洲债务危机、2015年股市危机和2020年新冠疫情三个时期内经济政策不确定性对农产品价格的影响具有明显差异;第四,经济政策不确定性对农村农产品价格的影响大于对城市农产品价格的影响。基于上述结论,本文提出稳定经济政策、针对不同种类农产品制定差异化政策、利用金融工具稳定价格和健全价格预警机制等政策建议。

The price fluctuation of agricultural products has an important impact on the stable development of national economy.Based on the price data of grain,meat and vegetable agricultural products from January 2011 to December 2020 and the uncertainty index of China’s economic policy,this paper studies the impact of economic policy uncertainty on the price of agricultural products by constructing a time-varying parameter vector autoregression(TVP-VAR)model.The empirical results show that the price fluctuation of agricultural products is time-varying in the face of the impact of economic policy uncertainty,showing an alternating trend of positive and negative,and the impact is different in variety,period and region.First of all,the price fluctuation range of meat and vegetable agricultural products is significantly larger than that of grain agricultural products.Secondly,with the increasing lag period,the impact of economic policy uncertainty on the price of agricultural products is less and less.Thirdly,due to the different nature of uncertain events,the impact of economic policy uncertainty on agricultural prices in the three periods of European Debt Crisis in 2011,Stock Market Crisis in 2015 and COVID-19 epidemic in 2020 is significantly different.Finally,the impact of economic policy uncertainty on rural agricultural prices is greater than that on urban agricultural prices.Based on the above conclusions,this paper puts forward some policy suggestions such as stabilizing economic policies,formulating differentiated policies for different kinds of agricultural products,using financial instruments to stabilize prices and improving price early warning mechanism.