The Impact Of The US Farmers Report On My Country's Agricultural Product Price

The United States department of agriculture released monthly report predicted that global agricultural product supply and demand information.It will strongly affect the international agricultural product market price expectations and our country corn future prices.The purpose of this paper is to study how the USDA report affects the corn futures prices of our country.Through the literature research foundation,the first part of this paper prove that the USDA report have influence on the China's agricultural prices on the theoretical level,which combined with analysis of USDA report forecast mechanism and influence factors of agricultural prices.It also introduces the current corn supply and demand situation and the structure of import and export trade in the international market so that it will lay a well ground for the back of empirical analysis.In the second part of empirical analysis,based on the Dalian Commodity Exchange's Oct.2004 to Oct.2015 corn futures prices in global initial inventory data and global production,global supply data of USDA report's three variables,the first step is to establish a cointegration regression model and vector error correction model,analysis how the USDA report affects our country corn price fluctuations in the short and long terms.Secondly,GARCH model is established for fitting the corn futures price series to research present situation and characteristics of corn futures price fluctuations.Then coupled with the USDA report data and the data of China's corn futures,DCC-GARCH model is established to further investigate the USDA report corn price volatility spillover effect to our country.According to the results,there is a long-term equilibrium relationship between futures prices for corn in our country and the USDA report,and the report also have a short term influence to our country corn futures price fluctuation.Further,the USDA report has volatility spillover effects on our country current period corn futures prices,and the relationship between the two is sustainable.On the basis of the above theoretical and empirical analysis,this paper puts forward suggestions from different angles to improve the discourse power of our agricultural products in the international market.