经济政策不确定性与农产品期货市场间的时频联动性研究

Research on the Linkage between Economic Policy Uncertainty and Time-frequency Risk of Agricultural Futures Market

基于极大重叠离散小波变换分析,构建参数向量自回归(TVP-VAR)时变波动风险溢出指数,对经济政策不确定性与我国小麦、玉米期货市场间的时变性风险联动效应进行研究。结果表明,经济政策不确定性与我国小麦、玉米期货市场价格之间风险联动性较强,溢出效应呈现非对称、时变性和异质性特征,中长期存在周期性特征。经济政策不确定性主要充当风险溢出的发出方,而小麦和玉米期货价格则是充当接收者的角色,且对小麦期货价格的风险溢出效应要大于对玉米期货价格的溢出效应。在金融危机、“钱荒”、俄乌冲突等不确定性事件发生时,中长期溢出成分占据主导地位,而在股灾危机后受短期溢出成分驱动愈发明显。

Based on the analysis of large overlapping discrete wavelet transform,this paper constructed the TVP-VAR time-varying volatility risk spillover index to study the time-varying risk linkage effect between economic policy uncertainty and wheat and corn futures markets in China.The results showed that the risk linkage between the economic policy uncertainty and the futures market prices of wheat and corn in China was strong,and the spillover effect showed asymmetric,time-varying and heterogeneous characteristics.Periodic characteristics exhibited in the medium and long term.Secondly,economic policy uncertainty mainly acted as the issuer of risk spillover,while wheat and corn futures prices play the role of receivers.The spillover effect on wheat futures prices is larger than that on corn futures prices.Finally,during uncertain events such as the financial crisis,“cash crunch”and the Russia-Ukraine conflict,the medium and long-term spillover component dominated,while the short-term spillover components have become increasingly prominent drivers after the stock market crash crisis.