Study On Price Transmission Among Bean Products Under Different Price Support Policies Based On Multiple GARCH Model

As China’s soybean products are heavily dependent on imports,and the futures and spot markets of China’s upstream and downstream soybean products are vulnerable to international market shocks,Chinese Government introduced corresponding soybean price policies in2008,2014 and 2017 respectively.In order to analyze how the price fluctuation of soybean products is transmitted under the same soybean price support policy,this paper samples the futures prices and spot prices of soybean,soybean meal and soybean oil from January 2009 to December 2021.The BEKK-GARCH model analyzed the volatility spillover between the spot markets of different policy periods.In addition,the DCC-GARCH model was used to fit the dynamic conditional correlation coefficient between soybean line futures,and analyzed how different price support policies affect the price linkage between soybean and downstream products through OLS model.This paper shows that: first,the temporary soybean purchase and storage policy policy and the target price policy actually weaken the spot fluctuation spillover effect of soybean,soybean meal and soybean oil futures.After the implementation of market-based acquisition and producer subsidy reform,the soybean futures market can fully transmit the price information to the spot market.Second,there is a significant risk spillover effect between the futures of the upstream and downstream related products of the soybean industry chain,showing the price linkage effect of different strengths in different soybean price support policy periods.The price linkage effect is the strongest in the period of temporary purchase and storage policy,the second in the target price policy period,and the producer subsidy stage is the weakest.Third,compared with the temporary purchase and storage price policy,the target price policy and the producer subsidy policy have a negative impact on the price linkage of the soybean industry chain,and the latter has a stronger negative impact,indicating that improving the marketization degree of agricultural products can inhibit the risk contagion between the industrial chains.The results of this paper show that under the condition of ensuring food security,policy makers should adhere to the direction of market-oriented reform,play the role of the market in resource allocation,but also use policy means to prevent market risks.In addition,we should grasp the overall market risks of the upstream and downstream of soybean products from the perspective of the industrial chain;accelerate the construction of related strong derivatives markets and provide various risk hedging channels to promote the healthy development of the soybean industry chain.