An Analysis Of The Linkage Between Domedtic Grain Price And International Energy Price

In recent years,the relationship between energy prices and grain prices has changed dramatically due to the volatility and rapid rise in energy prices,the rapid development of the bioenergy industry and the growing deepening of the trend in food finance.Energy prices and grain prices continue to rise.In this context,to explore the relationship between energy prices and grain prices has become one of the academic hot spots.Energy and grain these two special commodities,as indispensable material basis for national development,have a very important impact on all aspects of social development and progress.At present,the energy and grain futures market,the two emerging investment market has sprung up rapidly,and has good development prospects,and are concerned on by more and more investors.In the process of accelerating the globalization process and the rapid development of the economy,the interrelationships between the various markets due to internal fluctuations,the potential causal relationship is becoming more and more close,and the financial market is no exception.This potential causal link in the commodity futures market is particularly prominent,and the international energy price fluctuations will inevitably affect the domestic grain prices,especially in the price level and price fluctuations between the relationship,so the study between them is very necessary.This paper first makes a qualitative analysis of international energyprices and domestic grain prices,analyzes their historical trends and their respective influencing factors.And then the empirical part of the selected the international energy(crude oil,natural gas)futures day closing price and domestic grain(soybean,corn,wheat)futures day closing price from August 1,2011 to July 26,2016.To do a co-integration analysis between the energy and grain futures prices,which shows there is a long-term equilibrium relationship between them.And then based on the Archimedean copula function models,we analyzed their linkage,found their parameter estimation results and select the optimal copula model.The conclusion is that the Clayton copula function is the optimal copula function to describe the correlation between crude oil and soybean,crude oil and corn,natural gas and soybean,natural gas and wheat,natural gas and corn futures price series.And for the crude oil futures price and wheat futures price series,we select Frank copula function as the most appropriate one.And then based on the analysis of the optimal copula correlation,the conclusion is that the international energy futures market and the domestic soybean futures market,the domestic corn futures market has a significant positive correlation between,and there is a strong tail correlation between them.Tail-related structures have shown significant asymmetry.And the degree of dependence between the international energy futures market and the domestic wheat futures market is very weak,and they show no tail dependency.