大豆期货与豆油期货的价格关系——基于大连商品交易所的经验分析

doi:10.3969/j.issn.1005-6378.2017.02.015

河北大学学报(哲学社会科学版) ›› 2017, Vol. 42 ›› Issue (2): 103-109.DOI: 10.3969/j.issn.1005-6378.2017.02.015

大豆期货与豆油期货的价格关系——基于大连商品交易所的经验分析

刘立军¹，²，赵立三³

^1.河北农业大学商学院，河北保定071001；^2.河北地质大学经贸学院，河北石家庄050031；^3.河北大学管理学院，河北保定071002

收稿日期:2016-09-12 出版日期:2017-03-25 发布日期:2017-03-25
作者简介:刘立军（1980—），女，河北承德人，河北农业大学商学院博士研究生，河北地质大学经贸学院讲师，主要研究方向：农业经济管理。
基金资助:
国家社科基金重点项目（15AZD006）；河北省教育厅人文社会科学重大课题攻关项目（ZD201421）；河北省社会科学基金项目（HB14YJ036、HB15YJ052、HB15YJ056）

Study on the Relationship Between SoybeanFutures and Soybean Oil Futures Prices——Basing on the Empirical Analysis of Dalian Commodity

LIU Li jun¹，², ZHAO Li san³

^1. School of Business, Agricultural University of Hebei, Baoding, Hebei 071001;^2. School of Economics and Trade, Hebei University of Geology, Shijiazhuang, Hebei 050031;^3. College of Management, Hebei University, Baoding, Hebei 071002, China

Received:2016-09-12 Online:2017-03-25 Published:2017-03-25

摘要/Abstract

摘要： 大豆是大豆油的原材料，大豆的期货价格变动是否顺向影响了豆油的期货价格？豆油的期货价格变动是否反向影响了大豆的期货价格？运用大连商品交易所2006年1月9日至2016年8月4日10年的经验数据，使用黄大豆1号收盘价和豆油的收盘价构建VAR模型进行实证分析，并通过Granger因果关系检验、方差分解分析和脉冲响应函数表明：大豆期货价格的变动对豆油期货价格的变动具有明显地顺向影响和贡献度，豆油期货价格变动对大豆期货价格变动的反向影响不明显。

关键词: 大豆期货价格, 豆油期货价格, VAR

Abstract: Soybean is the raw material of soybean oil. Does the change of soybean futures prices affect the change of soybean oil futures prices or vise versa? In this paper, a case study is given to analyze the construction of VAR model with the closing price of yellow bean No.1 and soybean oil in Dalian Commodity Exchange from Jan. 9th, 2006 to Aug. 4th, 2016. Through Granger causality test, variance decomposition analysis and impulse response functions, it indicates that the effects of the change of soybean oil futures prices on the change of soybean futures price are not obvious, while the change of soybean futures prices has obvious influences and high contribution on the change of soybean oil futures prices.

Key words: soybean futures prices, soybean oil futures prices, VAR

中图分类号:

F830.9

刘立军，赵立三. 大豆期货与豆油期货的价格关系——基于大连商品交易所的经验分析[J]. 河北大学学报(哲学社会科学版), 2017, 42(2): 103-109.

LIU Li jun, ZHAO Li san. Study on the Relationship Between SoybeanFutures and Soybean Oil Futures Prices——Basing on the Empirical Analysis of Dalian Commodity[J]. JOURNAL OF HEBEI UNIVERSITY (Philosophy and Social Science), 2017, 42(2): 103-109.

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大豆期货与豆油期货的价格关系——基于大连商品交易所的经验分析

Study on the Relationship Between SoybeanFutures and Soybean Oil Futures Prices——Basing on the Empirical Analysis of Dalian Commodity

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