经济和贸易政策不确定性、地缘政治风险与食品价格波动信息流——基于EEMD模型的多尺度转移熵分析

Uncertainty of Economic and Trade Policy,Geopolitical Risk and Information Flow of Food Price Fluctuation:Multi-scale Transfer Entropy Analysis Based on EEMD Model

食品价格稳定是一国宏观经济政策的主要目标之一。进入21世纪,经济和政治不确定性不断提升,并影响一国食品价格的波动,正确认识经济和政治不确定性对食品价格的影响至关重要。以经济和贸易政策不确定性指数表征经济不确定性,以地缘政治风险指数表征政治不确定性,采用集合经验模态分解(EEMD),通过信号分解和重构,构建高频分量、低频分量和趋势项,并采用转移熵方法,构建多尺度信号转移熵矩阵,基于社会网络方法分析转移熵矩阵的网络特征。研究发现:经济和贸易政策不确定性、地缘政治风险和食品价格波动率之间存在复杂而多尺度的相互影响,这种影响主要体现为中期和长期效应,即经济和贸易政策不确定性、地缘政治风险在长期内影响食品价格的中期和长期波动,食品价格的中期和长期波动又影响了经济政策不确定性的中期波动。中期和长期内食品价格波动率在整个互动网络中处于更为重要的位置。地缘政治风险和贸易政策不确定性对食品价格波动的影响是单向的,而经济政策不确定性对食品价格波动的影响是双向的。针对结论,提出如下建议:保持经济和贸易政策中长期的稳定性;关注地缘政治风险对食品价格波动的影响。要继续坚持以习近平关于构建人类命运共同体的思想为指引,致力于多边合作和互利共赢,在长期内降低中国的地缘政治风险。

Food price stability is one of the main objectives of a country’s macroeconomic policy.With the coming of the 21st century,economic and political uncertainties are constantly rising and affect the fluctuation of food prices in a country.It is crucial to correctly understand the impact of economic and political uncertainties on food prices.The economic and trade policy uncertainty index is used to characterize the economic uncertainty,and the geopolitical risk index is used to characterize the political uncertainty.The collective empirical mode decomposition(EEMD)is used to construct high-frequency components,low-frequency components and trend items through signal decomposition and reconstruction.The multi-scale signal transfer entropy matrix is constructed using the transfer entropy method,and the network characteristics of the transfer entropy matrix are analyzed based on the social network method.Results indicate that there is a complex and multi-scale interaction between economic and trade policy uncertainty,geopolitical risk and food price volatility,which is mainly reflected in the medium and long-term effects.In other words,economic and trade policy uncertainty,geopolitical risk affect the medium and long-term fluctuations of food prices in the long term,and the medium and long-term fluctuations of food prices affect the medium and long-term fluctuations of economic policy uncertainty.In the medium and long term,food price volatility plays a more important role in the entire interactive network.Geopolitical risk and trade policy uncertainty have a one-way impact on food price volatility,while economic policy uncertainty has a two-way impact on food price volatility.In view of the above conclusion,the following suggestions are put forward:to maintain the stability of economic and trade policies in the medium and long term and focus on the impact of geopolitical risks on food price volatility.There is need to continue to follow the guidance of Xi Jinping’s thought on building a community with a shared future for mankind,commit to multilateral cooperation and mutual benefit,and reduce China’s geopolitical risks in the long run.