Research On The Spillover Effect Of Chinese And American Soybean Futures Market Under The Background Of Trade Friction

With the continuous expansion of China's agricultural opening to the outside world,the linkage between domestic and foreign agricultural product price changes has continued to increase,and the risk contagion between markets has gradually deepened.As China's largest imported agricultural product,soybean has large demand,wide use,and rich related industrial chains.The position in agriculture is self-evident.As the world's largest soybean demanding country and importing country,China lacks the right to speak in the international soybean pricing system,while the United States,as the world's largest soybean supply country,CBOT soybean futures price is the authority in the global soybean trade.The price has an important influence on the development of the global soybean industry chain.The Sino-US trade friction will have a profound impact on the global soybean supply and demand pattern and the development of the industrial chain.In the Sino-US trade friction and China must import large quantities of US beans to meet domestic demand.Under the realistic background,it is particularly important to study the spillover eflfect between the US and Chinese soybean futures markets.This article takes the important economic event of Sino-US trade friction as the background,takes the continuous price index of CBOT soybean futures and the continuous price index of China's DCE soybean futures as the research objects,and uses the VAR model to study the two The dynamic correlation of prices between markets,and on the basis of the traditional multivariate stochastic volatility(MSV)model,a T-variable stochastic volatility(DGC-T-MSV)with Granger causality test and time-varying correlation coefficients The model is used to study the strength,direction and correlation of fluctuations in the Sino-US soybean futures market in different periods of trade friction.The empirical results show that:(1)China and US soybean futures price and return rate series have significant peak fat tail and volatility clustering characteristics.Soybean futures market price volatility of DCE is more persistent,which indicates that the information transmission efficiency of DCE needs to be strengthened urgently.(2)There is a certain average spillover effect of price changes between the US and US soybean futures markets.After the occurrence of trade friction,China's efforts to promote the development of the soybean industry and actively seek for import substitution countries have increased the pricing power of China's soybean futures,which has gradually affected the price trend of the global soybean futures market.(3)Trade friction has changed the direction of volatility spillover between the US and US soybean futures markets.In the early stage of trade friction,there was only one-way volatility spillover effect of CBOT against DCE.In the duration of trade friction,there was a significant two-way volatility spillover effect between price changes between DCE and CBOT,and it showed a positive effect.Transfer characteristics to risks.