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MBA论文_经济政策不确定性对大豆期货价格影响研究

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经济政策不确定性对大豆期货价格的影响研究
摘要
我国作为世界上的农业大国,大豆是至关重要的农产品资源,我国大豆的消
费量和进出口量都位于世界前茅。期货市场和现货市场之间的价格波动是密不可
分的,大豆期货市场在成立的初期,其初衷也是为了保护大豆相关产业链的参与
者、生产者和投资者,通过利用期货套期保值的基础特性,合理的规避相应的价
格波动风险。大豆无论在现货市场还是在期货市场中,都是成交活跃度最高的农
产品种类。大豆作为农产品的主要种类,不仅满足了人们生活的基本需求,也为
国民经济做出了重要的贡献。由于2008年发生了影响世界范围最深的金融危机,
全球的不确定性因素也变得越来越多,在次贷危机之后又出现了以欧洲主权国家
的债务危机;2015年由杠杠融资以及股市资产泡沫等引起的股灾极大制约了国
民经济的发展;2018年美国政府又公布了对中国一些商品加征关税的清单,中
美贸易争端从此拉开了序幕;2019年底在全球又发生了新冠肺炎疫情,这对全
球经济的运行产生了消极的影响。以上这些特殊事件的发生,使得全球的经济政
策的不确定性进一步加深。目前,很多国内外学者的研究文献都已经表明了经济
政策不确定性对整个金融市场造成了显著的冲击影响。
因此,本文通过探讨经济政策不确定性和大豆期货价格之间的关系,以大豆
的期货价格及经济政策不确定性指数为研究对象,建立结构向量自回归(SVAR)
模型,并结合脉冲响应函数,探究各个特殊的时期,经济政策不确定性指数对我
国大豆期货价格的影响,进而为政府相关政策的拟定提供合理的参考意见。
本文的研究表明,第一,经济政策不确定性对两个大豆期货品种的价格在短
期内既有显著的负向冲击作用,也有显著正向的冲击作用。这是因为在初期时,
不确定性因素导致市场的供求不均衡,从而对大豆期货品种的价格产生了负向冲
击影响,之后由于不确定性水平下降,对大豆期货市场的直接投资和需求增加,
进而又产生了正向的冲击影响;第二,经济政策不确定性水平对消费者物价指数
在短期内有着显著的负向作用,这是由于经济政策不确定性因素的增加在很大程
度上降低了人们消费的积极性,从而使得人们的消费水平也就降低了。第三,大
豆期货品种的价格波动不仅受到经济政策不确定性指数的影响,其受到自身的影
响也十分显著,这也契合实际的情况,在短期之内,大豆期货品种的价格波动受
自身影响的作用很大,但在长期来看,其受到自身的影响因素基本上可以忽略。
关键词:经济政策不确定性;大豆期货价格;结构向量自回归
1

经济政策不确定性对大豆期货价格的影响研究
ABSTRACT
As a large agricultural country in the world,soybean is a vital agricultural
product resource,china's soybean consumption, import and export volume are among
the best in the world. The price fluctuation between the futures market and the spot
market is inseparable. In the early stage of its establishment, the original intention of
the soybean futures market is to protect the participants, producers and investors in
the soybean related industrial chain, and reasonably avoid the corresponding price
fluctuation risk by using the basic characteristics of futures hedging. Soybean is the
most active type of agricultural products in both the spot market and the futures
market. As the main type of agricultural products, soybean not only meets the basic
needs of people's life, but also makes an important contribution to the national
economy.Due to the deepest financial crisis in the world in 2008, there are more and
more uncertain factors in the world. The subprime crisis was followed by the debt
crisis of European sovereign countries, the stock market crash in 2015 caused by bar
financing and asset bubbles in the stock market greatly restricted the development of
the national economy, the U.S. government issued a list of tariff increases in 2018 and
the trade war between China and the U.S. was launched as a result, and the new
crown pneumonia epidemic occurred in the world at the end of 2019, which had a
negative impact on the operation of the global economy. The occurrence of these
exceptional events above has further deepened the uncertainty of economic policies
around the world. At present, the research literature of many scholars at home and
abroad has shown that the uncertainty of economic policy has a significant impact on
the whole financial market.
Therefore, by exploring the relationship between economic policy uncertainty
and soybean futures prices, this paper constructs a structural vector autoregressive
(SVAR) model using soybean futures prices and economic policy uncertainty indices
as research objects, and combined with the impulse response function to explore the
impact of economic policy uncertainty indices on China's soybean futures prices in
each particular period, then provide reasonable reference for the formulation of
relevant government policies.
The research in this paper shows, first, that economic policy uncertainty has both
a significant negative and a significant positive shock effect on the prices of both
soybean futures varieties in the short term. This is due to the negative shock impact on
the prices of the soybean futures varieties in the initial period when uncertainty leads
2
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