经济政策不确定性、金融化与农产品期货价格

Economic policy uncertainty, financialization andagricultural futures prices

基于大宗商品金融属性视角,选取2014年1月至2023年10月的月度数据,构建了大宗商品金融化指数,采用BDS检验、DCC-MGARCH模型及TVP-VAR模型,对经济政策不确定性冲击下农产品期货价格的动态演变关系及其传导机制展开研究。研究表明:在面对经济政策不确定性冲击时,农产品期货价格表现出明显的非线性时变波动特征,其中大宗商品金融化是经济政策不确定性影响农产品期货价格波动的重要传导机制。

Based on the financial attributes of commodities,this paper selects the monthly data from January 2014 to October 2023,constructs a commodity financialization index,and uses BDS test,DCC-MGARCH model,and TVP-VAR model to study the dynamic evolution relationship and transmission mechanism of agricultural futures prices under the impact of economic policy uncertainty.The results show that when facing the impact of economic policy uncertainty,agricultural futures prices exhibit significant nonlinear time-varying fluctuations,among which the financialization of commodities is an important transmission mechanism of economic policy uncertainty affecting the fluctuations on agricultural futures prices.