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Qiankun Jiang
Department of Economics and Management, Zhejiang Sci-Tech University, Hangzhou, China
Publications
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Research Article
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
Author(s): Xiulian Zhou* and Qiankun Jiang
In this paper, we take the role path of economic policy uncertainty, securities market and futures market and construct VAR-BEKK-GARCH-VS model to explore the volatility spillover effect and nonlinear dynamic evolution of economic policy uncertainty and asset prices, and the empirical analysis results show that the oil and grease futures price and financial market have significant risk spillover effect and asymmetry and usually the oil and grease futures price is the risk transmitter of this volatility spillover; from the static spillover effect, the degree of influence of oil and grease futures price fluctuations on China's agricultural products market is the strongest; in the dynamic spillover effect, the oil and grease futures price under the impact of extreme events has significant time-varying characteristics and asymmetry, and the dependence on the fluctuation of China's.. View more»