原油价格与经济政策不确定性对大宗商品市场非对称冲击效应研究
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摘要
利用面板分位回归模型,考量不同市场环境下原油价格与经济政策不确定性对大宗商品市场非对称性冲击效应。结果表明:油价冲击对中国大宗商品收益的影响具有非对称性,正负油价冲击对其均有促进作用,但随着市场环境好转,正油价冲击的作用逐渐增强,负油价冲击则逐渐减弱;政策不确定性对大宗商品收益有促进作用,但在牛市环境下有抑制作用;且危机前后,油价冲击对大宗商品收益的影响存在非对称性效应。
In order to explore the impact of global crude oil price and economic policy uncertainty on commodity market under different market conditions,we establish the panel quantile regression model.And sub-samples were compared before and after the financial crisis to analyze the difference of this effect,focusing on the analysis of the impact of positive and negative oil price shocks on China's bulk commodities.The results show that the impact of oil price shocks on China's commodity is asymmetric during the full sample,and positive and negative oil price shocks have a positive effect on them.However,as the market environment improves,the effect of positive oil price shocks gradually increases,while the effect of negative oil prices gradually weakens.The impact of economic policy uncertainty on commodity returns has a catalytic effect in the normal market environment and an inhibitory effect in the bull market environment.Before and after the crisis,there was an asymmetric effect of the impact of oil price shocks on commodity returns.The influence of policy uncertainty plays an inhibitory role in the bear market environment and plays a catalytic role in the bull market environment.Its role is greater before the crisis than after the crisis.
In order to explore the impact of global crude oil price and economic policy uncertainty on commodity market under different market conditions,we establish the panel quantile regression model.And sub-samples were compared before and after the financial crisis to analyze the difference of this effect,focusing on the analysis of the impact of positive and negative oil price shocks on China's bulk commodities.The results show that the impact of oil price shocks on China's commodity is asymmetric during the full sample,and positive and negative oil price shocks have a positive effect on them.However,as the market environment improves,the effect of positive oil price shocks gradually increases,while the effect of negative oil prices gradually weakens.The impact of economic policy uncertainty on commodity returns has a catalytic effect in the normal market environment and an inhibitory effect in the bull market environment.Before and after the crisis,there was an asymmetric effect of the impact of oil price shocks on commodity returns.The influence of policy uncertainty plays an inhibitory role in the bear market environment and plays a catalytic role in the bull market environment.Its role is greater before the crisis than after the crisis.
引文
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[16]朱慧明,汪宁丽,黄瑞.基于极端分位数回归模型的国际原油与天然气市场相依关系研究[J].湖南大学学报(社会科学版),2018(2):30-36.
[2] Zhang C,Chen X.The impact of global oil price shocks on China’s bulk commodity markets and fundamental industries[J].Energy Policy,2014,66:32-41.
[3] Baker S R,Bloom N,Davis S J.Measuring economic policy uncertainty[Z].Chicago-Booth Research Paper,2012,12(6).
[4] Gulen H,Ion M.Policy uncertainty and corporate investment[J].Ssrn Electronic Journal,2016,29(3):523-564.
[5]文建东,冯伟东.制度和政策不确定性下的创新决策与经济增长过程[J].财经理论与实践,2018,39(01):115-126.
[6] Kang W,Ratti R A.Oil shocks,policy uncertainty and stock returns in China[J].Economics of Transition,2015,23(4):657-676.
[7]田磊,林建浩,张少华.政策不确定性是中国经济波动的主要因素吗——基于混合识别法的创新实证研究[J].财贸经济,2017,38(01):5-20.
[8] Chen Q,Lv X.The extreme-value dependence between the crude oil price and Chinese stock markets[J].International Review of Economics&Finance,2015,39:121-132.
[9]曾志坚,徐迪,左楠.金融危机对证券市场波动溢出的影响研究[J].财经理论与实践,2011(6):48-52.
[10]M Buchinsky.Quantile Regression Box–Cox transformation model and the US wage structure,1963–1987[J].Journal of Econometrics,1995,65(1):109-154.
[11]Damette O,Delacote P.On the economic factors of deforestation:What can we learn from quantile analysis?[J].Economic Modelling,2012,29(6):2427-2434.
[12]Lamarche C.Measuring the incentives to learn in Colombia using new quantile regression approaches[J].Journal of Development Economics,2011,96(2):278-288.
[13]Zhu H,Guo Y,You W,Xu Y.The heterogeneity dependence between crude oil price changes and industry stock market returns in China:Evidence from a quantile regression approach[J].Energy Economics,2016,55:30-41.
[14]Cade B S,Noon B R.A gentle introduction to quantile regression for ecologists[J].Frontiers in Ecology&the Environment,2003,1(8):412-420.
[15]Binder M,Coad A.From average Joe's happiness to miserable Jane and cheerful John:using quantile regressions to analyze the full subjective well-being distribution[J].Journal of Economic Behavior&Organization,2011,79(3):275-290.
[16]朱慧明,汪宁丽,黄瑞.基于极端分位数回归模型的国际原油与天然气市场相依关系研究[J].湖南大学学报(社会科学版),2018(2):30-36.