| Corn futures, soybeans futures, soybean meal futures, wheat futures cotton future sandrubber futures are the main trade varieties in domestic futures market, corn belongs to netexport products, it is exported to Japan, Korea, Southeast Asia and other surrounding areas,soybeans is mainly imported from American, the influence degree of the dollar on corn andsoybeans is different. Our country makes the international balance of payments as the ultimategoal of monetary policy, promote export of agricultural products to achieve the balance ofpayments surplus, so both of them have the different attention by monetary authority andinfluence on monetary policy.Dividing the agricultural products futures into net export agricultural products futuresand net import agricultural products futures, and making corn and soybeans for example, wemade an analysis of the price spillover and volatility spillover effect between the exchangerate and price of corn futures, and the exchange rate and price of soybean futures, analyzedthe information transfer direction between the two markets, and made a in-depth analysis ofthe exchange rate transmission effect between monetary policy and the agricultural productsfutures.As we can see from the related literature domestic and overseas, the interest rate can notaffect the prices of agricultural products, the money supply affects the prices of agriculturalproducts aspects of import and export, affect domestic prices of agricultural products fromexchange rate transmission indirect.First of all,on the basis of exchange rate “overshoot”model and Friankel’s agriculturalproducts price “overshoot” model. we analysis the effect of exchange rate and money supplyon agricultural prices. Then from the exchange rate transmission, we analysis the influence ofother factors on the agricultural products, survey the correlation between exchange rate andagricultural products as a whole.we analyze the price spillover and volatility spillover effect between exchange rate andcorn futures or soybeans futures based on the VAR model and DCC-GARCH model, test pricespillover and volatility spillover effect direction between exchange rate and corn futures or soybeans futures with Granger causality test. The results shows that as follows:(1)the averageyield and the standard deviation of soybean futures is greater than corn futures mean, sovolatility of soybean future is more intense and risk-taking, exchange rate fluctuations is mostgentle.(2) the exchange rate,soybean and corn futures returns exist “spike thick tailphenomenon”, the fluctuation is integration, sustainable and asymmetry.(3)in terms of price,there is a unidirectional and asymmetric price spillovers between RMB exchange rate andcorn futures, RMB exchange rate changes can effects corn futures volatility, but corn futurescannot cause RMB exchange rate changes, while there is no effect between exchange rate andsoybeans futures.(4)in terms of volatility spillover, corn futures volatility effect exchange ratefluctuations in the first phase, but the exchange rate fluctuations cannot effect corn futuresuntil13issue. while there is a unidirectional and asymmetric volatility spillovers betweenRMB exchange rate and soybean futures, RMB exchange rate changes can effects soybeanfutures volatility, but soybean futures volatility cannot cause RMB exchange rate changes.At last, we analysis the reasons based on the results of the empirical analysis in thefourth chapter, put forward advice to investors that they can refer to the exchange rate changestrend and invest diversified, suggest firms enterprise to distribute resources of import andexport reasonably, cultivate high-tech talent and innovative processing technology to decreasethe cost of domestic agricultural products, advise the government and the monetaryauthorities formulate exchange rate reasonably combination of fiscal policy, to improve thestructure of imports and exports and guide the relevant fore-and-aft development. |
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