Sharp fluctuation of soybean prices in international and domestic markets has caused big risks for both domestic soybean producers and processing enterprises in recent years. It also increases the difficulties in impl...Sharp fluctuation of soybean prices in international and domestic markets has caused big risks for both domestic soybean producers and processing enterprises in recent years. It also increases the difficulties in implementing price stabilization policy for the government. This paper analyzes the volatility spillovers in soybean prices between international and domestic markets using the multivariate VAR-BEKK-GARCH model based on the data set from December 22,2004 to December 19,2014. The estimate results indicate that there are volatility spillover effects from domestic futures market to spot market and bilateral spillover between international futures market and domestic spot market. In order to prevent market manipulation and to reduce the impacts of price volatility in international soybean market on Chinese market,this paper proposes the following policy measures such as establishing early warning mechanism for soybean price fluctuations,improving soybean futures contract design and strengthening trading risk management mechanism,amplifying information disclosure system,and regularizing speculation activities of big traders.展开更多
There is an increasing demand for feed as the industrialization of hog production in China. Land scarcity limits China＇s ability to continue increasing its hog production without feed imports, particularly soybean, a...There is an increasing demand for feed as the industrialization of hog production in China. Land scarcity limits China＇s ability to continue increasing its hog production without feed imports, particularly soybean, and the feed markets are increasingly integrated into the global market. This study performs an analysis of price transmission between the hog price in China and feed prices, specifically domestic maize price and international soybean price, from January 2000 to April 2014. We identified a long-term stable equilibrium relationship between the three markets. However, further analyses show that there is no significant Granger causality between hog and feed market, and the long-run equilibrium partially results from Granger causality between the international soybean market and domestic maize market. This suggests that the domestic hog market has been distorted by different policies. The results also indicate that the efficiency of price transmission is very low and it takes about 11 months to correct one-half of any long-run disequilibrium for the hog market in China. Therefore, to stabilize hog price in China, only market intervention to regulate the maize and soybean markets would be insufficient and comprehensive measures need to be taken into account such as hog production modernization, agricultural insurance, epidemic surveillance etc.展开更多
基金Supported by National Social Science Foundation of China(13BJY141)
文摘Sharp fluctuation of soybean prices in international and domestic markets has caused big risks for both domestic soybean producers and processing enterprises in recent years. It also increases the difficulties in implementing price stabilization policy for the government. This paper analyzes the volatility spillovers in soybean prices between international and domestic markets using the multivariate VAR-BEKK-GARCH model based on the data set from December 22,2004 to December 19,2014. The estimate results indicate that there are volatility spillover effects from domestic futures market to spot market and bilateral spillover between international futures market and domestic spot market. In order to prevent market manipulation and to reduce the impacts of price volatility in international soybean market on Chinese market,this paper proposes the following policy measures such as establishing early warning mechanism for soybean price fluctuations,improving soybean futures contract design and strengthening trading risk management mechanism,amplifying information disclosure system,and regularizing speculation activities of big traders.
基金the sponsorship of German Research Foundation(RTG1666)A Project Funded by the Priority Academic Program Development of Jiangsu Higher Education Institutions(PAPD),Chinathe National Natural Science Foundation of China(71173110)
文摘There is an increasing demand for feed as the industrialization of hog production in China. Land scarcity limits China＇s ability to continue increasing its hog production without feed imports, particularly soybean, and the feed markets are increasingly integrated into the global market. This study performs an analysis of price transmission between the hog price in China and feed prices, specifically domestic maize price and international soybean price, from January 2000 to April 2014. We identified a long-term stable equilibrium relationship between the three markets. However, further analyses show that there is no significant Granger causality between hog and feed market, and the long-run equilibrium partially results from Granger causality between the international soybean market and domestic maize market. This suggests that the domestic hog market has been distorted by different policies. The results also indicate that the efficiency of price transmission is very low and it takes about 11 months to correct one-half of any long-run disequilibrium for the hog market in China. Therefore, to stabilize hog price in China, only market intervention to regulate the maize and soybean markets would be insufficient and comprehensive measures need to be taken into account such as hog production modernization, agricultural insurance, epidemic surveillance etc.
