鸡蛋期货与豆粕期货价格关联性研究——基于产业链视角的分析

Research on the Price Relationship between Egg Futures and Soybean Meal Futures based on the Perspective of Industrial Chain

本文选取我国2014年1月1日至2018年5月18日鸡蛋与豆粕期货主力合约价格连续数据,采用平滑转换回归(STR)模型对鸡蛋与豆粕期货市场价格关联性展开研究。研究结论如下:鸡蛋期货与豆粕期货价格之间存在长期效应;豆粕期货价格对鸡蛋期货价格具有正向的非线性价格联动性,且这种非线性影响降低了两类期货价格之间的联动性效果;鸡蛋期货价格对豆粕期货价格的非线性影响会引起两类期货价格之间的联动性由正向转为负向。

This paper selects data of egg and soybean meal futures price from January 1,2014 to May 18,2018,uses the smooth transition regression(STR) model to analyze price correlation between egg and soybean meal futures market.It is found that there is a long-term effect in prices between egg futures and soybean meal futures.Soybean meal futures price has positive nonlinear price correlation to egg futures price, and its nonlinear effect reduces the interaction between two kinds of futures’ prices.While the non-linear effect of egg futures price on soybean meal futures price will change the positive linkage between two futures’ prices to negative.