| 摘要: |
| 中国大豆进口量持续保持高位，其价格波动一直是关注焦点。为研究不同大豆市场价格传导的差异，选取中国、巴西、阿根廷和美国大豆市场2014年1月—2021年5月的日度价格数据，采用小波模型与Copula函数对中国与各国大豆市场价格关联进行实证分析。结果表明:中国大豆市场价格与各国大豆市场价格之间均存在显著正向关联，关联程度随时间尺度的扩大而增强，其中与巴西关联性最为显著；尾部价格联动效应存在差异，价格波动超过1个月，与阿根廷、美国分别对价格下降、上涨更敏感；中国与巴西、美国大豆市场价格都存在明显的非对称价格传导，不同国家正/负向传导效应在时间尺度上存在差异。基于研究结果，提出了提高国内油料生产，丰富进口来源，加强市场监测预警等政策建议。 |
| 关键词: 大豆价格 空间关联 小波变换 Copula函数 政策应对 |
| DOI：10.11841/j.issn.1007-4333.2023.04.20 |
| 投稿时间：2022-07-05 |
| 基金项目:国家自然科学基金项目(71703159)；中央级公益性科研院所基本科研业务费专项(JBYW-AII-2022-06, JBYW-AII-2022-21)；中国农业科学院科技创新工程(CAAS-ASTIP-2021-AII)；国家自然科学基金项目(42271313) |
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| Spatial dependence of soybean price and policy responses between China and major soybean import countries |
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WU Jianzhai,HU Jiaxuan,XING Liwei,SHEN Chen,CHI Liang,ZHANG Jing,LIU Jifang*
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| (Agricultural Information Institute/Key Laboratory of Agricultural Monitoring and Early Warming Technology of Ministry ofAgriculture and Rural Affairs, Chinese Academy of Agricultural Sciences, Beijing 100081, China) |
| Abstract: |
| The quantity of China's soybean import has been large, and its price fluctuation has always been the focus of attention. In order to study the difference of price transmission in different soybean markets, based on the daily price of soybean markets in China, Brazil, Argentina, and the United States from January 2014 to May 2021, the study conducts an empirical analysis of the price dependence in the soybean markets between China and other countries by using wavelets and copulas. The results show that: The significant positive price dependence between China and other countries, especially Brazil, becomes much stronger with the expansion of the time scale. Moreover, for the different tail dependence coefficients in price transmission, negative shocks from Argentina and positive shocks from the United States are more likely to be observed after more than one month in China. In addition, an asymmetry price transmission(positive or negative)is usually found between China and Brazil/the United States instead of Argentina, which may change on the time scale for different countries. Finally, policy suggestions to increase the production of domestic oil crops, enrich import sources and realize market monitoring and early warning are put forward in this study. |
| Key words: soybean price spatial dependence wavelet transform Copula function policy responses |
