Research On The Spillover Effect Of Simo-US Bean Futures Market Under The Background Of Trade Disputes

With the continuous expansion of China’s agricultural opening up,the correlation between domestic and abroad agricultural product futures price changes has gradually increased,and the risk contagion effect has gradually deepened.Under the realistic background that China must import large quantities of soybeans to meet domestic demand and the Sino-US trade disputes continue,it is necessary to study the spillover effects of the Sino-US bean futures market to prevent market risks.This thesis takes the Sino-US "trade war" as an important economic event.From the perspective of soybean industry chain,this thesis selects The Chicago Commodity Exchange(CBOT)soybean futures continue The price index and China Dalian Commodity Exchange(DCE)soybean meal futures continuous price index as the research object,and,based on the traditional multivariate stochastic volatility(MSV)model,constructed DGC-t-MSV model which is used to test the wave conduction direction and its time-varying correlation between the CBOT soybean futures market and the DCE soybean meal futures market before and after the Sino-US trade disputes.This thesis selects the closing price of the DCE soybean meal futures continuous price index and the COBT soybean futures continuous price index from January 1,2010 to December 31,2018 as sample data,and the US government officially issues the tariff items list on April 4,2018.The key time node of the "trade war" between China and the United States divide the overall data into two parts.The sample data interval before the Sino-US trade dispute is from January 1,2010 to April 4,2018,and,the sample data interval during the Sino-US trade disputes is from April 4,2018 to December 31,2018,and the model’s estimated parameters are estimated using the Gibbs-based Markov chain Monte Carlo(MCMC)method.The empirical results show that:(1)There are significant spike tails and volatility agglomeration characteristics in the price yield series of Chinese and American bean futures.No matter which period,the Sino-US bean futures market is vulnerable to the volatility of its previous period,The volatility persists,and the volatility agglomeration characteristics are significant.(2)The price changes in the soybean futures markets of China and the United States have a high time-varying positive correlation and a certain mean spilover effect.There is a close correlation between the price changes in the Chinese and American bean futures markets.The two markets volatility shows a positive correlation with time.The two cities have high volatility and the ability to digest information shocks.The Sino-US trade war is a major Economic event which have strengthened the relevance of the Sino-US bean futures market.(3)Sino-US trade disputes have affected the direction of volatility in the Sino-US bean futures market.In the early stage of the trade dispute,there was only one-way volatility spillover effect of the US soybean futures market on the Chinese soybean meal futures market.During the duration of the trade dispute,there is a significant two-way volatility spillover effect in the price movements between the Sino-US bean futures markets,showing a positive risk transfer characteristic.