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.
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
.
DOI: 10.1007/s12204-016-1736-x
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