Research On The Influence Of International Oil Price On Agricultural Futures Price

Crude oil is an important energy and raw material for people's production and life.Similarly,China needs to consume a large amount of agricultural products every year.The stability of agricultural prices affects the grain output and the food of many people.Again because of the agricultural products futures price changes will form the rational expectations about future prices for agricultural products,so the international oil price fluctuations and fluctuations in the price of agricultural products futures relationship,help in the international oil price fluctuations,the government to formulate appropriate agricultural policies to stabilize agricultural prices and financial regulators,formulate corresponding policies from the commodity futures market risk;Further research on the hedging possibility of agricultural futures and international crude oil can also provide theoretical basis for institutional and individual investors to incorporate agricultural futures into international crude oil portfolios to avoid the risk of asset price fluctuations.On the basis of existing literature research,this paper takes international oil price and futures prices of soybean,corn and wheat as the research object,and the research time range is 5 January 2012 solstice December 30,2019.After basic statistical analysis and stability test of the data,this paper conducts empirical research mainly through the BEKK-GARCH model in the multivariate GARCH model,and studies the fluctuation state of the international oil price and the futures price of agricultural products in China and the fluctuation spillover effect between them through the model.On this basis,this paper establishes the error correction model(ECM)to study the optimal hedging ratio of international crude oil futures and soybean,corn and wheat agricultural futures,and then further analyzes the hedging effectiveness of international crude oil futures and three agricultural futures.Finally,according to the research results,this paper provides some Suggestions for the government to stabilize the prices of agricultural products and improve the futures market of agricultural products in China.According to the characteristics that soybean futures have better hedging effectiveness compared with corn and wheat futures,this paper provides Suggestions for individual and institutional investors to choose agricultural futures to hedge the risk of international oil price fluctuations.