国际贸易对国际国内大豆市场价格关系的实证研究

An Empirical Study on the Price Relationship Between International and Domestic Soybean Market in International Trade

论文基于协整理论和误差修正模型研究了国内外大豆现货价格之间的关系。根据2002年至2016年的月度数据,实证分析得出结论:长期来看,国际市场大豆价格和国内市场大豆价格协整;采用格兰杰因果关系检验表明国际大豆市场价格波动能够显著的影响国内市场大豆价格,但是国内市场大豆价格波动不能显著的影响国际市场价格。

Based on cointegration theory and error correction model,this paper studies the relationship between spot soybean prices at home and abroad.On the basis of monthly data from 2002 to 2016,the empirical analysis concluded that in the long term,soybean prices in the international and domestic markets are cointegrated;the Gelanjie causality test shows that the price fluctuation of the international soybean market can significantly affect the domestic soybean price,but the domestic soybean price fluctuation can not significantly affect the international market price.