经济政策不确定性与农产品价格波动

本文通过构建以经济政策不确定性为影响农产品价格的可观测潜在驱动力的因子增广向量自回归(FAVAR)模型,研究2006年1月至2017年9月的经济政策不确定性对中国农产品价格的冲击效应。结果发现:中国主要农产品价格对经济政策不确定性冲击的响应具有显著的实时性、周期性和负向性;其对国内冲击的响应更迅速、更剧烈,对国际冲击的响应弹性也更强。具体而言,粮食价格对经济政策不确定性冲击的响应剧烈,波动持续期较短;油料作物价格对冲击的响应最强,波动持续期最短;畜禽产品价格对冲击的响应最弱,波动持续期最长;棉、糖价格对冲击的响应和波动持续期与其他农产品相比特异性明显。

Economic Policy Uncertainty and Price Fluctuation of Agricultural Products

This article studies the shock effects of economic policy uncertainty on agricultural prices in China from January 2006 to September 2017, by setting the uncertain factors of economic policy as observable potential drivers using a Factor-Augmented Vector Autoregressive (FAVAR) model. The main results are as follows:(1) The response of Chinese major agricultural product prices to the shock of uncertain economic policies is significantly real-time, periodic, and negative.(2) The prices response to domestic shocks more rapidly and intensely, while its response to international shocks has stronger elasticity. Specifically, food prices has stronger response to the shocks of uncertain economic policies with shorter duration of fluctuations. The oil crop prices have the strongest response with the shortest duration of fluctuations. Livestock and poultry product prices have the weakest response with the longest duration of fluctuations. The response of cotton and sugar prices are more specific than those of other agricultural products.