地缘政治风险对国际农产品市场的影响：基于GJR-GARCH-MIDAS模型的实证分析
The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model
AI总结：
本文基于随机矩阵理论构建多维地缘政治风险指标，采用GJR-GARCH-MIDAS模型实证分析其对国际粮食市场波动的影响，发现滚动窗口和双因子模型解释力更强，且不同维度风险影响各异。
摘要：
当前国际形势动荡不安，全球地缘政治冲突频繁爆发。地缘政治风险已成为威胁地区及全球和平、稳定与经济繁荣的重要因素，并对全球粮食体系和粮食安全造成严重干扰。本文聚焦国际粮食市场，基于随机矩阵理论构建不同维度的地缘政治风险度量指标，并分别构建固定时间跨度和滚动窗口的单因子及双因子GJR-GARCH-MIDAS模型，以考察地缘政治风险对粮食市场波动的影响。研究结果表明，基于滚动窗口的建模在描述小麦、玉米、大豆和大米市场的整体波动方面表现更优，且双因子模型在多数情况下通常展现出更强的解释力。在短期波动方面，四种主粮市场均表现出明显的波动聚集性和高波动持续性，且不存在显著的不对称性。在长期波动方面，小麦、玉米和大豆的实现波动显著加剧了其长期市场波动。此外，不同维度的地缘政治风险在解释四种主粮商品长期市场波动时呈现出不同的影响方向和程度。本研究有助于理解粮食市场波动的宏观驱动因素，为利用农产品期货进行投资提供有用信息，并为维护粮食市场稳定运行和保障全球粮食安全提供有价值的见解。
英文摘要：
The current international landscape is turbulent and unstable, with frequent outbreaks of geopolitical conflicts worldwide. Geopolitical risk has emerged as a significant threat to regional and global peace, stability, and economic prosperity, causing serious disruptions to the global food system and food security. Focusing on the international food market, this paper builds different dimensions of geopolitical risk measures based on the random matrix theory and constructs single- and two-factor GJR-GARCH-MIDAS models with fixed time span and rolling window, respectively, to investigate the impact of geopolitical risk on food market volatility. The findings indicate that modeling based on rolling window performs better in describing the overall volatility of the wheat, maize, soybean, and rice markets, and the two-factor models generally exhibit stronger explanatory power in most cases. In terms of short-term fluctuations, all four staple food markets demonstrate obvious volatility clustering and high volatility persistence, without significant asymmetry. Regarding long-term volatility, the realized volatility of wheat, maize, and soybean significantly exacerbates their long-run market volatility. Additionally, geopolitical risks of different dimensions show varying directions and degrees of effects in explaining the long-term market volatility of the four staple food commodities. This study contributes to the understanding of the macro-drivers of food market fluctuations, provides useful information for investment using agricultural futures, and offers valuable insights into maintaining the stable operation of food markets and safeguarding global food security.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
