中加油菜籽期货与现货价格动态关系研究

doi:10.3969/j.issn.1004-1524.2016.10.23

浙江农业学报 ›› 2016, Vol. 28 ›› Issue (10): 1796-1802.DOI: 10.3969/j.issn.1004-1524.2016.10.23

• 农业经济与发展 • 上一篇

中加油菜籽期货与现货价格动态关系研究

吴琪, 蔡勋, 冯中朝^*

华中农业大学经济管理学院,湖北武汉 430070

收稿日期:2016-01-19 出版日期:2016-10-15 发布日期:2016-11-20
通讯作者: 冯中朝,E-mail:fengzhch@163.com
作者简介:吴琪(1991—),湖北黄冈人,硕士研究生,研究方向为农产品流通理论与政策。E-mail:184744241@qq.com
基金资助:
国家油菜产业技术体系专项(CARS-13); 中国工程院重大咨询项目(4005-35013018, 4005-35013019)

Dynamic relationship between Chinese and Canadian rapeseed future prices and spot prices

WU Qi, CAI Xun, FENG Zhong-chao^*

College of Economics and Management, Huazhong Agricultural University, Wuhan, 430070, China

Received:2016-01-19 Online:2016-10-15 Published:2016-11-20

摘要/Abstract

摘要： 基于2013年1月至2015年12月中国、加拿大两国油菜籽期货与现货价格月度数据,运用有向无环图(DAG)技术与结构向量自回归(SVAR)模型,系统分析了中加两国油菜籽期货、现货价格之间的动态关系。研究结果表明,加拿大油菜籽期货市场对现货市场具有较强的价格发现功能,而中国油菜籽期货市场对现货市场的价格发现功能相对较弱。中国油菜籽市场在一定程度上参与了国际油菜籽市场的定价,但参与程度仍有待提高。

关键词: 油菜籽, 期货价格, 现货价格, DAG, SVAR模型

Abstract: Based on the monthly data of Chinese and Canadian rapeseed future prices and spot prices form January 2013 to December 2015, directed acyclic graph and SVAR model were adopted to analyze the dynamic relationship between Chinese and Canadian rapeseed future prices and spot prices. It was shown that Canadian rapeseed futures market played a relatively strong price discovery function on its rapeseed spot market, while Chinese rapeseed futures market played a relatively weak price discovery function on its rapeseed spot market. Although Chinese rapeseed market took part in international rapeseed pricing to a certain degree, it still needed to be improved.

Key words: rapeseed, future prices, spot prices, DAG, SVAR model

中图分类号:

S-9
F830.9

吴琪, 蔡勋, 冯中朝. 中加油菜籽期货与现货价格动态关系研究[J]. 浙江农业学报, 2016, 28(10): 1796-1802.

WU Qi, CAI Xun, FENG Zhong-chao. Dynamic relationship between Chinese and Canadian rapeseed future prices and spot prices[J]. , 2016, 28(10): 1796-1802.

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中加油菜籽期货与现货价格动态关系研究

Dynamic relationship between Chinese and Canadian rapeseed future prices and spot prices

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