Causality of Future and Spot Grain Prices Between China and the US: Evidence from Soybean and Corn Markets Against the Surging Import Pressure

doi:10.1007/s12204-016-1736-x

上海交通大学学报（英文版） ›› 2016, Vol. 21 ›› Issue (3): 374-384.doi: 10.1007/s12204-016-1736-x

Causality of Future and Spot Grain Prices Between China and the US: Evidence from Soybean and Corn Markets Against the Surging Import Pressure

CAO Zhengwei1* (曹正伟), GU Haiying1 (顾海英), ZHOU Weimin1 (周伟民), YAN Shuqin2 (阎淑琴),ITO Shoichi2 (伊东正一), ISODA Hiroshi2 (磯田宏)

(1. Antai College of Economics and Management, Shanghai Jiaotong University, Shanghai 200030, China; 2. Graduate School of Bioresource and Bioenvironmental Sciences, Kyushu University, Fukuoka 8120053, Japan)

出版日期:2016-06-30 发布日期:2016-06-30
通讯作者: CAO Zhengwei (曹正伟) E-mail:zhengweiskylark@sjtu.edu.cn

Causality of Future and Spot Grain Prices Between China and the US: Evidence from Soybean and Corn Markets Against the Surging Import Pressure

CAO Zhengwei1* (曹正伟), GU Haiying1 (顾海英), ZHOU Weimin1 (周伟民), YAN Shuqin2 (阎淑琴),ITO Shoichi2 (伊东正一), ISODA Hiroshi2 (磯田宏)

(1. Antai College of Economics and Management, Shanghai Jiaotong University, Shanghai 200030, China; 2. Graduate School of Bioresource and Bioenvironmental Sciences, Kyushu University, Fukuoka 8120053, Japan)

Online:2016-06-30 Published:2016-06-30
Contact: CAO Zhengwei (曹正伟) E-mail:zhengweiskylark@sjtu.edu.cn

摘要/Abstract

摘要： As the boom of the world grain market phases out, the challenge for Chinese government has gradually moved from retarding grain exports to restraining imports. This study tries to examine the causalities of soybean and corn price movement among the United States (US) future market, Chinese domestic future market and Chinese spot markets. We find that the daily prices of all these three types of grains belong to I(1) series, and there are long-run integrations. Also Chinese soybean future prices adjust more quickly than its spot prices, while Chinese corn future prices adjust slower. This paper finds that the soybean price movement originates from the US future market, then passes through Chinese future market, and finally reaches Chinese spot market, while the corn price movement starts in Chinese spot market, then spreads to the future markets in both China and the US. Finally, this paper also provides some policy implications on how to release the pressure from the grain imports.

关键词: causality, grain, future price, spot price

Abstract: As the boom of the world grain market phases out, the challenge for Chinese government has gradually moved from retarding grain exports to restraining imports. This study tries to examine the causalities of soybean and corn price movement among the United States (US) future market, Chinese domestic future market and Chinese spot markets. We find that the daily prices of all these three types of grains belong to I(1) series, and there are long-run integrations. Also Chinese soybean future prices adjust more quickly than its spot prices, while Chinese corn future prices adjust slower. This paper finds that the soybean price movement originates from the US future market, then passes through Chinese future market, and finally reaches Chinese spot market, while the corn price movement starts in Chinese spot market, then spreads to the future markets in both China and the US. Finally, this paper also provides some policy implications on how to release the pressure from the grain imports.

Key words: causality, grain, future price, spot price

中图分类号:

F 310

CAO Zhengwei1* (曹正伟), GU Haiying1 (顾海英), ZHOU Weimin1 (周伟民), YAN Shuqin2 (阎淑琴),I. Causality of Future and Spot Grain Prices Between China and the US: Evidence from Soybean and Corn Markets Against the Surging Import Pressure[J]. 上海交通大学学报（英文版）, 2016, 21(3): 374-384.

CAO Zhengwei1* (曹正伟), GU Haiying1 (顾海英), ZHOU Weimin1 (周伟民), YAN Shuqin2 (阎淑琴),ITO Shoichi2 (伊东正一), ISODA Hiroshi2 (磯田宏). Causality of Future and Spot Grain Prices Between China and the US: Evidence from Soybean and Corn Markets Against the Surging Import Pressure[J]. Journal of shanghai Jiaotong University (Science), 2016, 21(3): 374-384.

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Causality of Future and Spot Grain Prices Between China and the US: Evidence from Soybean and Corn Markets Against the Surging Import Pressure

Causality of Future and Spot Grain Prices Between China and the US: Evidence from Soybean and Corn Markets Against the Surging Import Pressure

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