传染病不确定性对大宗商品期货价格波动的非对称影响研究

doi:10.16381/j.cnki.issn1003-207x.2021.0747

Abstract

Abstract:

The spread of COVID-19 has caused great pressures on the economic development of various countries and the stability of financial markets. In this context， the quantitative analysis for the impact of infectious diseases-related uncertainty information on the volatility of commodity futures is not only helpful to avoid investment risks， but also conducive to the stability of economic production and people’s lives. A novel nonparametric causality-in-quantiles test method is employed to analyze the asymmetric effects of infectious diseases-related uncertainty on the volatility of commodity futures， from two perspectives of different conditional distributions and good and bad volatility. Combined with the rolling time window technique， the dynamic evolution of their causal relationships before and after the COVID-19 pandemic is further discussed.The empirical results manifest that， infectious diseases-related uncertainty has significant causal effects on the volatility of commodity futures. Meanwhile， their causal relationships show obvious asymmetric features. For example， these commodity futures markets response more strongly to infectious diseases-related uncertainty during their medium volatility period. The bad volatility of oil， copper， soybeans and lean hog futures is more easily driven by infectious diseases-related uncertainty than their good volatility， while the gold futures is just the opposite. Furthermore， the dynamic causal analysis based on the rolling time window technique not only verifies the robustness of above-mentioned findings， but also shows that the outbreak of COVID-19 significantly enhances the impacts of infectious diseases-related uncertainty on the overall volatility of crude oil， copper and gold futures， as well as the asymmetries between the good and bad volatility the four commodity futures other than lean hog futures.

Key words: infectious diseases-related uncertainty, commodity futures, asymmetric effect, nonparametric causality-in-quantiles test, COVID-19

CLC Number:

F830

Wenhua Yu,Xiangyang Ren,Kun Yang,Yu Wei. Asymmetric Effects of Infectious Diseases-related Uncertainty on the Volatility of Commodity Futures[J]. Chinese Journal of Management Science, 2024, 32(5): 254-264.

Figures/Tables 7

期货市场	平均值	标准差	偏度	峰度	J-B	ADF
Panel A：传染病不确定性
EMVID	0.015	0.659	0.154^***	3.418^***	3.4^***	-17.346^***
Panel B：整体波动 $R V$
原油	0.014	0.029	9.652^***	112.263^***	157478.6^***	-8.949^***
黄金	0.004	0.005	3.853^***	21.676^***	5221.3^***	-4.247^***
铜	0.006	0.008	6.420^***	60.233^***	4409.5^***	-5.435^***
大豆	0.005	0.008	8.562^***	103.970^***	134160.3^***	-6.828^***
瘦肉猪	0.013	0.017	2.991^***	13.743^***	1934.1^***	-6.768^***
Panel C：好波动 $R S +$
原油	0.007	0.013	9.620^***	122.339^***	186910.9^***	-8.291^***
黄金	0.002	0.004	4.288^***	26.502^***	8006.0^***	-4.311^***
铜	0.003	0.003	3.873^***	22.416^***	5589.6^***	-4.333^***
大豆	0.002	0.003	8.940^***	119.134^***	176611.3^***	-6.587^***
瘦肉猪	0.006	0.011	4.171^***	23.727^***	6385.4^***	-8.505^***
Panel D：坏波动 $R S -$
原油	0.007	0.018	9.849^***	110.969^***	154080.8^***	-9.721^***
黄金	0.002	0.002	3.088^***	13.943^***	2019.7^***	-5.491^***
铜	0.003	0.005	7.809^***	83.806^***	86645.0^***	-6.854^***
大豆	0.003	0.006	7.087^***	70.079^***	60126.9^***	-7.358^***
瘦肉猪	0.006	0.011	3.381^***	16.963^***	3078.8^***	-8.073^***

期货市场	原假设：EMVID不是特定商品期货价格波动的线性Granger原因
期货市场	$R V$	$R S +$	$R S -$
原油	5.455^***	5.563^***	4.193^***
黄金	0.625	1.758^*	0.400
铜	1.061	0.498	1.401
大豆	0.802	0.938	0.654
瘦肉猪	1.352	1.735	2.874^***

变量	原油	黄金	铜	大豆	瘦肉猪
Panel A: m=2
$R V$	2.813^***	3.587^***	2.628^***	2.286^**	2.626^***
$R S +$	2.838^***	3.555^***	2.324^**	2.208^**	3.221^***
$R S -$	2.055^**	3.126^***	2.583^***	2.588^***	2.789^***
Panel B: m=3
$R V$	4.139^***	3.553^***	2.406^**	2.160^**	3.576^***
$R S +$	3.575^***	2.657^***	2.143^**	2.085^**	4.140^***
$R S -$	3.804^***	4.191^***	2.348^**	2.394^**	3.621^***
Panel C: m=4
$R V$	4.025^***	3.638^***	2.372^**	2.113^**	3.537^***
$R S +$	3.317^***	2.120^**	2.112^**	1.906^*	3.953^***
$R S -$	3.540^***	4.217^***	2.350^**	2.398^**	3.441^***
Panel D: m=5
$R V$	2.969^***	2.649^***	2.436^**	2.241^**	3.805^***
$R S +$	2.322^**	1.756^*	2.112^**	2.135^**	2.398^**
$R S -$	2.229^**	2.118^**	2.415^**	2.456^**	2.898^***

期货市场	原假设：EMVID不是特定商品期货波动在 $α$ 分位点上的非线性原因
期货市场	0.1	0.2	0.3	0.4	0.5	0.6	0.7	0.8	0.9
$R 2$ :
原油	2.516^***	3.826^***	4.174^***	4.597^***	4.826^***	4.959^***	4.294^***	3.215^***	3.090^***
黄金	1.704^*	2.553^***	2.653^***	3.248^***	3.286^***	3.222^***	2.870^***	2.710^***	2.142^**
铜	2.048^**	2.721^***	3.248^***	3.995^***	3.656^***	3.180^***	2.758^***	2.493^***	1.609
大豆	2.473^***	2.931^***	3.281^***	3.563^***	3.326^***	3.590^***	3.719^***	2.582^***	1.803^*
瘦肉猪	3.108^***	4.241^***	4.514^***	4.817^***	4.931^***	4.908^***	4.722^***	3.776^***	2.778^***
条件波动率:
原油	3.823^***	5.028^***	5.219^***	5.098^***	5.136^***	4.802^***	4.177^***	3.828^***	2.705^***
黄金	4.232^***	4.992^***	4.806^***	4.545^***	4.665^***	4.495^***	4.218^***	3.647^***	3.009^***
铜	3.265^***	4.194^***	4.427^***	5.263^***	4.891^***	4.458^***	4.306^***	4.049^***	2.950^***
大豆	2.022^**	3.381^***	3.422^***	3.379^***	3.366^***	3.115^***	2.611^***	2.204^**	1.797^*
瘦肉猪	1.541	2.231^**	2.856^***	3.636^***	4.094^***	3.810^***	3.940^***	3.505^***	2.295^**

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Asymmetric Effects of Infectious Diseases-related Uncertainty on the Volatility of Commodity Futures

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