基于VAR模型的玉米价格波动与大豆价格波动的相关性分析

Correlation Analysis of Price Fluctuation of Corn and Soybean based on VAR Model

利用2000年~2016年集贸市场玉米价格和大豆价格月度数据,建立二者之间的VAR模型来检验玉米价格波动是否受到大豆价格波动的影响,结果表明大豆价格波动是玉米价格波动的格兰杰原因,而玉米价格波动不是大豆价格波动的格兰杰原因。大豆价格波动对玉米价格波动具有一定的滞后性,当期大豆价格波动在10期内会对玉米价格产生影响。从长期来看,大豆价格变化率对玉米价格变化率的影响贡献程度约为12%,同时玉米价格自身变化率的变动影响程度约为88%,这在一定程度上说明了大豆价格波动对玉米价格波动具有影响。

This paper uses monthly data of corn market price and soybean market price within 2000-2016, establishes the VAR model to examine whether the corn price fluctuation is impacted by soybean price fluctuation. The results indicate that the soybean price fluctuation is the Granger cause for corn price fluctuation, but the corn price fluctuation is not the Granger cause for the soybean price fluctuation. The soybean price fluctuation has some time-lag on corn price fluctuation, when the soybean price fluctuation is within 10 periods, it will impact the corn price. In the long run, the impact contribution degree of soybean price variation rate on corn price variation rate is about 12%, and that of corn price variation rate is about 88%, which has revealed that the soybean price fluctuation has affected the corn price fluctuation.