Study on the volatility spillover effect and nonlinear dynamic evolution mechanism of economic policy uncertainty and asset prices--an analysis of futures prices of oil and grease agricultural products based on the VAR-BEKK-GARCH-VS model

Abstract

In recent years, the uncertainty of the domestic and foreign economic environment on China's futures and financial markets is increasingly significant, this paper to economic policy uncertainty, securities markets, futures markets, producer costs of the role of the path, the construction of the VAR-BEKK-GARCH-VS model to explore the volatility spillover effect of economic policy uncertainty and asset prices, nonlinear dynamic evolution, empirical analysis results show that Oil and grease futures prices and financial markets have significant risk spillover effects and asymmetry, and usually oil and grease agricultural commodity futures prices are the risk transmitter of the volatility spillover; from the static spillover effect, oil and grease agricultural commodity futures price fluctuations have the strongest degree of influence on China's agricultural commodity market; in terms of the dynamic spillover effect, the oil and grease agricultural commodity futures prices under the impact of extreme events have significant time-varying characteristics and asymmetry, and the impact on China's futures prices is not significant, and the impact on China's futures prices is not significant. In terms of dynamic spillover effect, the futures price of oil and grease agricultural products under the impact of extreme events has significant time-varying characteristics and non-symmetry, and is more dependent on the fluctuation of China's futures price. Based on this, policy makers should adopt policy guidance and market subsidies to improve the reserve and insurance system of oil and grease agricultural products futures; economic and financial management authorities should establish a risk monitoring and early warning mechanism in China's oil and grease agricultural products futures market to effectively prevent systemic risks.