豆粕现货价格对期货价格的影响——基于VAR模型的实证分析  

Impact of spot price of soybean meal on futures price:An empirical analysis based on VAR model

作　　者：贺晓雨 张美 HE Xiao-yu;ZHANG Mei

机构地区：[1]重庆机电职业技术大学,重庆402760

出　　处：《饲料研究》2023年第11期183-186,共4页Feed Research

基　　金：重庆市教育委员会项目(项目编号:KJQN202103702)。

摘　　要：作为期货交易的优秀品类,豆粕期货自上市后呈有序向好态势发展,获得众多期货市场投资者青睐。探究豆粕期货价格与现货价格间联动关系,有助于降低价格波动对豆粕产业的影响,为稳定农产品期货市场提供保障。以2009年8月—2021年8月的月度数据为样本,借助VAR模型,运用脉冲响应函数与方差分解检验豆粕现货价格对期货价格的影响。结果表明,豆粕期货价格对现货价格冲击的响应期为两年,第二年豆粕现货价格对期货价格具有6.97%的贡献率。研究表明,我国豆粕现货价格对期货价格具有显著促进作用。As an excellent category for futures trading,soybean meal futures have shown an orderly and positive development trend since its listing,which has been favored by many investors in futures market.Exploring linkage between soybean meal futures prices and spot prices is beneficial for reducing the impact of price fluctuations on soybean meal industry and providing support for stabilizing agricultural product futures market.Taking monthly data from August 2009 to August 2021 as samples,the paper uses VAR model,impulse response function and variance decomposition to test impact of soymeal spot price on futures price.The results showed that the response period of soybean meal futures price to spot price shock is 2 years,and the contribution rate of soybean meal spot price to futures price is 6.97%in the second year.The research shows that the spot price of soybean meal has a significant promoting effect on the futures price.

关 键 词：豆粕现货价格 期货价格 VAR模型 

分 类 号：S8-9[农业科学—畜牧兽医]