基于VAR模型的我国大豆期货市场价格影响因素分解  

Decomposition of Factors Influencing Prices of China's Soybean Futures Based on VAR Model

作　　者：周大朋 穆月英[1] Zhou Dapeng;Mu Yueying

机构地区：[1]中国农业大学经济管理学院

出　　处：《当代农村财经》2022年第5期55-59,共5页Contemporary Rural Finance and Economics

基　　金：国家社会科学基金重大项目(18ZDA074)。

摘　　要：大豆期货作为我国最早一批设立的农产品期货市场,在套期保值、价格发现等发挥了多方面的作用,但是一直以来期货价格波动频繁,因此本文基于VAR模型对大豆期货市场价格的影响因素进行分析。依次进行了平稳性检验、协整检验、建立向量自回归模型、脉冲响应函数和方差分解等步骤进行实证分析。结果表明,我国大豆期货价格与大豆现货价格、进口价格、相关商品期货价格以及国际大豆期货价格之间存在协整关系,且大豆期货价格受自身影响程度最大,相关商品期货价格和大豆进口价格也有明显的影响,而我国大豆期货价格受国外的大豆期货价格影响程度在削弱。最后根据结论给出相关的建议。Soybean futures,as one of the earliest agricultural product futures established in my country’s futures market,have played many roles in hedging and price discovery,but prices have always fluctuated greatly.Therefore,this paper is based on the VAR model on the factors that affect soybean futures market prices.analysis.the steps of stationarity test,co-integration test,establishment of vector autoregressive model,impulse response function and variance decomposition were carried out in turn for empirical analysis.The results show that there is a co-integration relationship between my country’s soybean futures prices and soybean spot prices,import prices,related commodity futures prices and international soybean futures prices,and soybean futures prices are most affected by themselves,and related commodity futures prices and soybean import prices also have differences.However,my country’s soybean futures prices are weakened by the influence of foreign soybean futures prices.Finally,some suggestions are given based on the conclusions.

关 键 词：大豆期货价格 平稳性检验 协整检验 向量自回归(VAR) 

分 类 号：F323.7[经济管理—产业经济] F724.5