大豆在国际大宗商品市场的起:一项量化调查
Gustavo María Barboza Martignone1,2, Bikramaditya Ghosh1,3, Dimitrios Papadas1
1Food Land & Agribusiness Management Department, Harper Adams University, Newport, TF10 8NB, UK.
Heliyon
|August 21, 2024
概括
像乌克兰冲突这样的地缘政治事件显著影响农业和能源大宗商品市场. 大豆及其衍生品是关键的冲击传感器,在冲突期间,大豆油,大麦和小麦的溢出风险增加.
科学领域:
- 经济学 经济学 经济学
- 农业经济学 农业经济学
- 能源经济学 能源经济学
背景情况:
- 地缘政治事件,特别是俄罗斯-乌克兰冲突,加剧了对农业和能源大宗商品市场相互联系的兴趣.
- 了解这些行业之间的价格动态和风险溢出效应对于市场分析和稳定至关重要.
研究的目的:
- 分析主要农产品 (小麦,大麦,大豆,大豆油,大豆粉,花油),能源商品 (原油,天然气) 和肥料 (DAP,尿素) 之间的动态互连和风险溢出影响.
- 随着时间的推移跟踪连接,特别是在极端市场条件和地缘政治事件期间,使用量子向量自回归 (QVAR) 模型.
主要方法:
- 采用量子向量自回归 (QVAR) 模型来评估时间变化的连接和风险溢出效应.
- 检查了极端量子和中位量子,以确定冲击传递机制.
- 分析了从2010年1月到2023年1月的数据,涵盖了各种地缘政治场景.
主要成果:
- 大豆及其衍生品,特别是大豆粉,被确定为主要的冲击传递物,特别是在上方的量度中.
- 在俄罗斯-乌克兰冲突期间,大豆油,大麦和小麦的溢出风险增加.
- 发现溢出效应在极端量度中是对称的 (91-87%的连接),与中位数量度中较低的连接 (低于49%) 相反. 网络复杂性随着极端的量度而减少.
结论:
- 大豆在市场冲击传播中的中心作用突出了其系统重要性.
- 在地缘政治危机期间增加的溢出风险需要积极的政策干预.
- 调查结果为决策者提供了洞察力,以确保国内和国际农业和能源市场的稳定.
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