进口冲击背景下国内外大豆期货 现货价格互动关系分析-analysis of interaction between spot price of soybean futures at home and abroad under the background of import shock.docxVIP

AbstractChina is the fourth-largest soybean producer and also the largest soybean importer and consumer in the world. With the improvement of living standards of people, the growing consumption of oil and protein stimulates the demand for soybean year by year. Since 1995 ,China became a net importer of soybeans and the quantity of imports had expanded each year. According to customs statistics, in 2010 Chinas soybean imports had been up to 54.787 million tons, accounting for 80% of the total quantity of domestic consumption. One one hand, a large number of soybean imports have met the huge gap of domestic consumption, but on the other hand it have a negative impact on the local production and cultivation of soybeans. With the shock of imports, to what extent do our soybean futures and spot markets have been influenced? How about the efficiency of out soybean futures market and whether it reflects the domestic supply and demand effectively? All these questions will be found out in this paper.The thesis collects a large amount of market data like the number of soybean imports and the soybean futures prices both home and abroad, domestic spot prices of soybean, soybean meal and soybean oil and etc. It demonstrate that the imported soybean have had a deterrent effects on domestic soybean prices for a long time by cost accounting of the two kind companies in which one chooses imported soybean and the other uses domestic soybean. Then the author applies the methods of Adaptive Expectations model, Vector Autoregressive, the Impulse Response Function, Variance Decomposition, Error Correction model, Granger Causality Test and etc to do a deep research on the transmission of information between China and the U.S. soybean futures markets, the role of our DCE soybean futures market playing in price discovery and the interaction between import changes, soybean futures prices both home and abroad and domestic spot prices.The results indicate that: ① DCE soybean futures price chan