The asymmetric impact of global economic policy uncertainty on international grain prices

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2023-06-01 DOI:10.1016/j.jcomm.2022.100273

Shaobo Long , Jieyu Li , Tianyuan Luo

引用次数: 0

Abstract

Using monthly data from January 1998 to May 2021, this study investigates the asymmetric impact of global economic policy uncertainty (GEPU) on international grain prices by using nonlinear autoregressive distribution lag (NARDL). We find that there is a positive, asymmetric relationship between GEPU and international grain prices. Specifically, GEPU has a greater negative than positive impact on wheat and maize prices, and the positive impact on soybean price is more pronounced than the negative one. We have also observed that the asymmetric impact of GEPU on rice price is not significant in the long run. The findings have important implications to formulate targeted and differentiated international grain price regulatory policies.

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全球经济政策不确定性对国际粮食价格的不对称影响

本研究利用1998年1月至2021年5月的月度数据，利用非线性自回归分布滞后（NARDL）研究了全球经济政策不确定性（GEPU）对国际粮食价格的非对称影响。我们发现GEPU与国际粮食价格之间存在着正的、不对称的关系。具体而言，GEPU对小麦和玉米价格的负面影响大于正面影响，对大豆价格的正面影响比负面影响更明显。我们还观察到，从长远来看，GEPU对大米价格的不对称影响并不显著。研究结果对制定有针对性和差异化的国际粮食价格监管政策具有重要意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.