Research On The Linkage And Time-varying Of Agricultural Product Futures Prices Between China And The United States

In recent years,the world economic environment has become more singular,and the constant changes in the international financial situation have caused commodity futures prices to fluctuate.Among them,agricultural product futures price fluctuations are particularly prominent.This article will take corn futures and soybean futures as an example,combined with the current status of the financial market,the price of corn and soybean futures in China is linked with the price of the US market,and analyzes the linkage and time-varying of futures prices.Corn and soybeans in the three years from 2000 to 2003,the price of futures varieties has maintained a steady low growth rate.The arrival of the 2008 financial crisis made the price of corn and soybean futures rise and fall,floating,and the rate of decline was also large.It also caused the market trading and market conditions of corn and soybeans to be greatly affected by each price fluctuation.Until the second half of 2016,the trend of falling corn and soybean futures prices eased.Although there was a small price drop,the overall market was positive.From the fluctuations of the whole year of 2018,the overall price of corn and soybean futures fluctuated upward,and the impact of seasonal supply and demand factors on prices was obvious.Drawing on the existing literature research results,this paper introduces the multivariate GARCH model into the research of the futures price linkage relationship between China and the United States.At the same time,the TVP-VAR model is used as a tool to analyze the price fluctuation of agricultural products futures,and explores the impact of agricultural products on non-linear aspects.Various factors of futures price volatility and draw conclusions.This paper selects corn and soybean futures as the research object,and takes the daily closing price of DCE and CBOT from May 7,2010 to September 25,2018 as the basic data of the study.Then apply the corresponding model for empirical research.Finally,the article draws the following conclusions:(1)US corn futures prices have a one-way linkage effect on China's corn futures prices,which have a greater impact on China's corn.(2)China and US soybean futures prices are highly correlated with time-varying relationships;in addition,futures prices in both countries are positively correlated most of the time,and US prices have a greater impact on China.(3)From the perspective of time-varying,the impact of the US corn futures market on the price of China's corn futures market is more obvious and lasts longer;in the soybean futures market,the impact of the US market on Chinese soybean prices is short-term and medium-term.It will then fade over time until it returns to a certain level and tends to stabilize.In addition,the relevant robustness test results in this paper are also robust.