| 摘要: |
| 运用Bai-Perron检验对中美大豆期货市场价格的结构突变现象进行了检验，进一步分阶段利用协整检验、Granger因果检验和脉冲响应函数方法，分析了中美大豆期货市场价格变动关系的结构突变特征及其影响因素。结果表明：1）整体上，中美大豆期货市场价格存在着长期的协整关系，美国大豆期货价格对中国大豆期货价格具有引导作用；2）中美大豆期货市场价格发生了5次结构突变，在部分结构突变点前后，两市场的价格联动关系发生改变；3）全球性的经济危机、国际油价的剧烈波动和市场调控政策的变化等重大事件会影响中美大豆期货市场的价格关系。 |
| 关键词: 大豆期货 Bai-Perron检验 结构突变 价格关系 |
| DOI：10.11841/j.issn.1007-4333.2016.09.18 |
| 投稿时间：2016-01-15 |
| 基金项目:中国农业科学院科技创新工程项目（ASTIP-IAED-2016-04）；国家社科基金项目（14BJY114） |
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| An analysis on price relationship between China and US soybean futures markets: Based on structural breaks viewpoint |
|
WANG Hong-lei1,2, ZHAO Yi-fu1
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| (1.Institute of Agricultural Economics and Development, Chinese Academy of Agricultural Sciences, Beijing 100081, China;2.College of Economics and Management, Qindao Agricultural University, Qingdao 266109, China) |
| Abstract: |
| The structural breaks of China and US soybean futures markets price was investigated by using Bai-Perron test,furthermore, characteristic of the structural break of price relationship variation and its influencing factors between China and US soybean futures markets were analyzed by using the cointegration test,Granger causality test and impulse response function in stages.The main conclusions are as follows:1) Overall,the price of China and US soybean futures markets are cointegrated in the long run,and the US soybean futures market price has leaded China soybean futures market price;2) The price of China and US soybean futures markets has five structural breaks,and before and after some breaks,the correlation of two markets price has changed.3) Significant events including global economic crisis,sharp fluctuation of oil price and change of market control policies have affected the price relationship between China and US soybean futures markets. |
| Key words: soybean futures Bai-Perron test structural breaks price relationship |
