我国大豆期货价格的传导效应研究——基于国际市场因素的VAR模型分析  

Research on the Conduction Effect of China's Soybean Futures Price——Analysis of VAR model based on international market factors

作　　者：辛阳 赵大坤[2] Xin Yang;Zhao Dakun

机构地区：[1]吉林工商学院金融学院 [2]长春光华学院金融学院

出　　处：《价格理论与实践》2020年第6期97-100,共4页Price:Theory & Practice

基　　金：吉林省教育厅社会科学研究项目“吉林省玉米行业产业链期货发展模式研究”(编号:2015-563);吉林工商学院科研基金项目“吉林省农村产业融合发展中新型农业经营主体风险问题研究”(课题编号:SB2020[001]);吉林省社会科学基金项目《农村产业融合与农业人口回流问题研究》,课题编号:2020B32中期成果。

摘　　要：大豆是我国重要的粮食品种,在国家粮食安全中占有重要地位。本文通过构建VAR模型,分析了国际市场因素对我国大豆价格的影响。结果显示:国际大豆期货价格、大豆进口量以及中美经贸关系是影响我国国内大豆价格的主要因素,国际能源价格、美元汇率不是国内大豆价格变动的格兰杰原因。VAR模型分析结果表明:国内大豆价格受到滞后1-3期的国际市场因素影响,且在第3期受到的累积冲击效应最大。为此,我国应加快大豆期货的国际化步伐,提升在国际大豆定价中的话语权;积极开拓多元化的大豆进口渠道,有效分散市场风险;积极寻求大豆种植技术突破,优化大豆种植的政策支持,积极推进“保险+期货”的风险管理模式等,以提高国产大豆的自给率。Soybean is an important food variety in China,and it occupies an important position in national food security.This article analyzes the impact of international market factors on soybean prices in my country by constructing a VAR model.The results show that international soybean futures prices,soybean imports and Sino-US economic and trade relations are the main factors affecting China domestic soybean prices.International energy prices and the exchange rate of the US dollar are not Granger reasons for domestic soybean price changes.VAR model analysis results show that domestic soybean prices are affected by international market factors lagging 1-3 periods,and the cumulative shock effect is the largest in the third period.To this end,China should accelerate the pace of internationalization of soybean futures and increase its voice in international soybean pricing;actively explore diversified soybean import channels to effectively diversify market risks;actively seek breakthroughs in soybean planting technology and optimize policy support for soybean planting,actively promote the"insurance+futures"risk management model,etc.,to increase the self-sufficiency rate of domestic soybeans.

关 键 词：大豆价格 国际市场因素 VAR模型 

分 类 号：F323.7[经济管理—产业经济] F724.5