地缘政治风险对大宗商品期货价格的影响研究

Research on the Impact of Geopolitical Risks on Commodity Futures Prices

摘要: 地缘政治风险是大宗商品期货价格变动的重要因素之一。研究地缘政治风险对大宗商品期货价格的影响具有重要的现实意义。选取2010年1月到2022年12月的大宗商品期货价格指数以及GPR指数，构建TVP-SV-VAR模型，运用自回归模型，从地缘政治整体视角分析地缘政治风险对大宗商品期货价格的影响。研究发现，地缘政治风险对于大宗商品期货价格具有正向影响以及短期的负向影响。当地缘政治事件发生，地缘政治风险激增的时候，大宗商品期货价格的收益率也会随之上升，价格上涨。因此，加强国家对于全球地缘政治风险的监控，明确了解地缘政治风险对大宗商品期货价格的影响机制与冲击特征，建立完善的风险预警机制，不断丰富我国的政策工具，对预防地缘政治风险带来的大宗商品期货价格波动具有重要意义。

Abstract: Geopolitical risk is one of the important factors in the price movement of commodity futures. Studying the impact of geopolitical risks on commodity futures prices is of great practical significance. The TVP-SV-VAR model was constructed by selecting the commodity futures price index and GPR index from January 2010 to December 2022, and the impact of geopolitical risks on commodity futures prices from the perspective of geopolitics as a whole was analyzed by using autoregressive models and impulse response analysis methods. The study found that geopolitical risks have a positive impact on commodity futures prices as well as a negative short-term impact. When geopolitical events occur and geopolitical risks surge, the yield on commodity futures prices rises and prices rise. Therefore, strengthening the country’s monitoring of global geopolitical risks, clearly understanding the impact mechanism and impact characteristics of geopolitical risks on commodity futures prices, establishing a sound risk early warning mechanism, and constantly enriching China’s policy tools are of great significance in preventing commodity futures price fluctuations caused by geopolitical risks.