Spillover Effects Of International Crude Oil Prices On China's Agricultural Products

As a large grain country and a populous country,China's agricultural product market is an important foundation for the country's agriculture,rural development,and it is of great significance to a country's economy.The international crude oil price,as an important economic indicator in the international financial market,will affect many economic variables.In recent years,more and more studies have shown that international crude oil prices have a significant spillover effect on the prices of bulk agricultural products.The study of spillover effects will have important theoretical guiding significance for China's agricultural product pricing mechanism and the corresponding cost management of agricultural enterprises and investment strategies of agricultural commodity futures investors.For this reason,this article will make a qualitative and quantitative analysis of the volatility spillover effect between the two.Traditional research is generally based on the empirical tests of linear and models,but this ignores the impact of dynamic changes in the volatility of returns.Based on the data processed by wavelet transform noise reduction,the article first established the VAR linear model to determine the existence of international crude oil price fluctuations spillover effect on domestic agricultural products,and concluded that there are two-way fluctuations in soybean,corn and cotton.At the same time,the spillover effect is direct and indirect.After the establishment of the DCC-GARCH model,the dynamic correlation coefficient analysis was performed.The conclusion is that the international crude oil price had a positive spillover effect on soybeans,and the international crude oil price spillover effect on corn was either positive or negative indifferent circumstances,mainly due to the dominant position.The difference is caused by the dynamic in mechanism.The volatility spillover effect of international crude oil prices on cotton is very weak,but with the internationalization of internationalization of agricultural product futures markets will gradually show more obvious effects.