生猪期货与玉米期货价格关联性的研究  

A study of price correlation between hog futures and corn futures

作　　者：刘健 葛璐瑶 LIU Jian;GE Luyao(Beijing Wuzi University,Beijing 101149,China;不详)

机构地区：[1]北京物资学院,北京101149

出　　处：《中国证券期货》2024年第3期17-26,共10页Securities & Futures of China

摘　　要：本文选取2021年1月8日至2023年6月1日生猪期货和玉米期货主力合约连续日度数据为研究样本,采用VAR模型对我国生猪期货价格与玉米期货价格的价格关联性进行研究,研究结果表明:生猪期货和玉米期货价格之间存在长期均衡关系;且二者间呈现双向的Granger因果关系,表明生猪期货和玉米期货的价格之间存在着相互导向和拉动的影响关系。生猪期货和玉米期货的价格波动主要受到各自内在因素的影响,长期来看二者价格之间仍存在一定联系,二者间的互动性和影响关系较为稳定。基于研究结果,为有效发挥生猪期货市场的作用、稳定我国玉米与猪肉价格,本文提出了相关政策建议。This paper selects the continuous daily data of hog futures and corn futures main contract from January 8,2021 to June 1,2023 as the research samples,and adopts the VAR model to study the price correlation between China's hog futures prices and corn futures prices,and the research results show that:there exists a long-run equilibrium relationship between the hog and corn futures prices,and the two present a bi-directional Granger causality between the two The results of the study show that:there is a long-term equilibrium relationship between hog and corn futures prices;and there is a bi-directional Granger causality relationship between the two,which indicates that there is a mutually oriented and pulling influence relationship between hog futures and corn futures prices;price fluctuations in hog futures and corn futures are mainly affected by their own internal factors,but in the long run,there is still a certain linkage between the prices of the two and the mutual influence is more stable.Based on the results of the study,in order to effectively play the role of the hog futures market,stabilize the price of corn and pork in China,this paper puts forward relevant policy recommendations.

关 键 词：生猪期货 玉米期货 价格关联性 产业链 

分 类 号：F323.7[经济管理—产业经济] F724.5