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

doi:10.3969/j.issn.1004-1524.2016.10.23

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

• Agricultural Economy and Development • Previous Articles

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

Abstract

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

CLC Number:

S-9
F830.9

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.

References

[1] United States Department of Agriculture. Foreigh agriculture service [EB/OL]. [2016-01-12]. http://apps.fas.usda.gov/psdonline/psdQuery.aspx.
[2] 中国海关信息网[EB/OL]. [2016-01-21]. http://www.haiguan.info/onlinesearch/TradeStat/StatCOMSub.aspx?TID=1.
[3] 中华粮油网数据中心[EB/OL]. [2016-01-15]. http://datacenter.cngrain.com/PriceEnd.
[4] 柳松,唐婷斐. 国内外油脂期货市场溢出效应及信息传导关系[J]. 华南农业大学学报(社会科学版),2014,13(1):72-82.
LIU S, TANG T F. Research on spillover effect and information transmission within oil futures markets at home and abroad[J]. Journal of South China Agricultural University ( Social Science Edition ), 2014, 13(1):72-82. (in Chinese with English abstract)
[5] 罗锋,牛宝俊. 国际农产品价格波动对国内农产品价格的传递效应——基于VAR模型的实证研究[J]. 国际贸易问题,2009(6):16-22.
LUO F, NIU B J. The pass-through effect of fluctuation of international agricultural products on domestic agricultural products: an empirical study based on VAR model[J]. Journal of International Trade , 2009(6):16-22. (in Chinese with English abstract)
[6] KHOURY N T, YOUROUGOU P. The informational content of the basis: Evidence from Canadian barley, oats, and canola futures markets[J]. Journal of Futures Markets , 1991, 11(1):69-80.
[7] YANG J, ZHANG J, LEATHAM D J. Price and volatility transmission in international wheat futures[J]. Annals of Economics & Finance , 2003, 4(4):37-50.
[8] FUNG H G, LEUNG W K, XU X E. Information flows between the U.S. and China commodity futures trading [J]. Review of Quantitative Finance and According , 2003, 21 (3): 267-285.
[9] 李新建,吴春梅,黄敏学,等. 我国油脂类期货价格之间的联动分析[J]. 华中农业大学学报(社会科学版), 2011(2):39-43.
LI X J, WU C M, HUANG M X, et al. Analysis on cooperation of soybean oil futures prices, colza oil futures prices and palm oil futures prices of China[J]. Journal of Huazhong Agricultural University : ( Social Sciences Edition ), 2011(2):39-43. (in Chinese with English abstract)
[10] 刘庆柏,华仁海. 我国大豆、豆粕和豆油期货价格之间的联动分析[J]. 南京财经大学学报,2009(5):49-53.
LIU Q B, HUA R H. An analysis on cooperation of soybean futures prices, soybean meal futures prices and soybean oil futures prices of China[J]. Journal of Nanjing University of Finance and Economics , 2009(5):49-53. (in Chinese with English abstract)
[11] 何玉梅,李濛,吴鸿波. 我国菜籽油期货与现货价格关系实证研究[J]. 价格理论与实践,2015(4):80-82.
HE Y M, LI M, WU H B. An empirical study on the relationship between rapeseed’s future price and spot price in China [J]. Price : Theory & Practice , 2015(4):80-82. (in Chinese)
[12] 李敬,赵玉. 国际油脂期货的价格传导与定价权研究[J]. 武汉大学学报(哲学社会科学版),2010,63(4):624-629.
LI J, ZHAO Y. Research on price transmission and pricing right of international oil futures[J]. Wuhan University Journal : Philosophy & Social Sciences , 2010, 63(4):624-629. (in Chinese with English abstract)
[13] 刘琰,肖艳丽. 期现货市场对现货价格引导关系研究——以中、加菜籽油期货为例[J]. 华中农业大学学报(社会科学版),2009,5: 50-53. doi:10.13300/j.cnki.hnwkxb.2009.05.035.
LIU Y, XIAO Y L. A Study of Casual Relationship between Futures Price and Spot Price——A case study on rape oil market of China and Canada[J]. Journal of Huazhong Agricultural University : Social Sciences Edition , 2009,5: 50-53. doi:10.13300/j.cnki.hnwkxb.2009.05.035. (in Chinese with English abstract)
[14] 王骏,蒋荣兵. 全球三大植物油期货市场国际关联性研究[J]. 南京农业大学学报(社会科学版),2008,8(3):30-37.
WANG J, JIANG R B. On the international linkages and pricing of the three most important vegetable oil futures markets in the world[J]. Journal of Nanjing Agricultural University ( Social Sciences Edition ), 2008, 8(3):30-37. (in Chinese with English abstract)
[15] 杨子晖. 财政政策与货币政策对私人投资的影响研究——基于有向无环图的应用分析[J]. 经济研究,2008(5):81-93.
YANG Z H. The Effects of fiscal and monetary policy on private investment——an application of directed acyclic graphs[J]. Economic Research Journal , 2008(5):81-93. (in Chinese with English abstract)
[16] SIMS C A. Are forecasting models usable for policy analysis[J]. Federal Reserve Bank of Minneapolis Quarterly Review , 1986, 10(1): 2-16.
[17] SWANSON N R, GRANGER C W J. Impulse response functions based on a causal approach to residual orthogonalization in vector autoregressions[J]. Journal of the American Statistical Association , 1997, 92(437): 357-367.
[18] BERNANKE B S. Alternative explanations of the money-income correlation[C]//North-Holland: Carnegie-Rochester conference series on public policy. 1986, 25: 49-99.
[19] AMISANO G., GIANNINI C. Topics in structural VAR econometrics[M]. Berlin: Springer,1997.
[20] SPIRTES P, GLYMOUR C, SCHEINES R. Causation, prediction, and search[J]. Lecture Notes in Statistics , 1993, 81(3):272-273.
[21] 闫云仙. 中国玉米期货市场价格发现功能的实证分析——基于有向无环图的应用[J]. 中国农村经济,2010,(7): 39-46.
YAN Y X. An empirical study on the price discovery function of China’s corn futures market: an application of directed acyclic graph[J]. Chinese Rural Economy , 2010(7):39-46. (in Chinese)
[22] 卜林,李政,张馨月. 短期国际资本流动、人民币汇率和资产价格—基于有向无环图的分析[J]. 经济评论,2015(1):140-151.
BU L, LI Z, ZHANG X Y. Short-run international capital flows, the RMB exchange rate and asset price: an approach based on the directed acyclic graph[J]. Economic Review , 2015(1):140-151. (in Chinese with English abstract)
[23] PEARL J. Causal diagrams for empirical research[J]. Biometrika , 1995, 82(4): 669-688.
[24] AWOKUSE T O. Export-led growth and the Japanese economy: evidence from VAR and directed acyclic graphs[J]. Applied Economics , 2006, 38(5): 593-602.

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

RichHTML

PDF (PC)

Knowledge

Abstract

Cite this article

share this article

References

Related Articles 15

Recommended Articles

Metrics

Comments

[1]	ZHANG Jinran, LI Cunchao, LI Xun, SUN Guojun, HE Ruiyin, WEI Qing. Design and experiment of precise seeding control system for rapeseed seeding machine based on GIS [J]. , 2020, 32(3): 518-526.
[2]	LI Hongqiao, DUAN Qiuyu, LIU Shishan, YANG Yunfei, LI Mengying, WU Yongcheng. Comparative study of yield and nitrogen efficiency between dwarf variety and normal variety in oilseed rape (Brassica napus L.) [J]. , 2019, 31(11): 1796-1802.
[3]	YU Xiaobo, SHA Yuebing, ZHANG Jiangdong, ZHAO Lei, CHEN Yi, SUI Zhiwei. Development of a reference plasmid of genetically modified rapeseed Ms8 [J]. , 2017, 29(5): 694-700.
[4]	GUO Jing 1， ZHOU Kejin2，*. The differences of endogenous hormones level and their response to ripener among the different rapeseed varieties [J]. , 2016, 28(3): 383-.
[5]	LIN Bao-gang, ZHANG Dong-qing, DING Hou-dong, ZHANG Yao-feng, YU Hua-sheng, HUA Shui-jin, SHAO Mei-hong, LIU Hua-zhou. Discussion of the method of quality breeding in Brassica napus [J]. , 2016, 28(12): 1979-1984.
[6]	CHEN Hong\\|cheng1,2， ZHANG Xiao\\|yu3,2， JIAO Cong\\|cong4，2， HUANG Ji\\|Xiang2， NI Xi\\|yuan2， ZHAO Jian\\|yi2，*. QTL mapping for glucosinolate content in seeds and its potential utilization in rapeseed breeding [J]. , 2014, 26(6): 1412-.
[7]	XUE Pei\\|pei;WANG Bing;＊;NIU Xiang. Grey relation analysis of soil fertility of moso bamboo forests at different altitudes in Dagang Mountain [J]. , 2013, 25(6): 0-1359.
[8]	WANG Wei-xing;CHEN Jian-bing;YANG Ying;ZHENG Mei-yu;LU Sheng-min;*. Effects of different pretreatment methods on the enzymatic hydrolysis of rapeseed protein [J]. , 2012, 24(5): 0-913.
[9]	YANG Yong;LIU Qiang;;SONG Haixing;GUAN Chunyun;;RONG Xiangmin;PENG Jianwei. Effects of different NPK ratios on nutrients absorption,carbon and nitrogen metabolism, and grain yield of rapeseed YANG Yong1, LIU Qiang1,, SONG Haixing1, GUAN Chunyun2,, RONG Xiangmin1, PENG Jianwei1 (1Hunan Provincial Key Laboratory of Farmland Pollution Control and Agricultural Resource Use, Hunan Provincial Key Laboratory of Plant Nutrition in Common University, College of Resource and Environment, Hunan Agriculture University, Changsha 410128,China; 2 National Center of Oilseed Crops Improvement,Hunan Branch,Changsha 410128,China) Abstract: A field experiment was conducted to investigate the effects of different NPK ratios on nutrients absorption, carbon and nitrogen metabolism, and grain yield of Xiangzayou 763 rapeseed. The results showed that the total amounts of free amino acids as well as the contents and total soluble sugar increased with increasing N levels,but there was no consistent effect for P and K levels on them. NPK accumulation and grain yields of rapeseed were increased with increasing N and P levels, but the influence of K was not obvious. Fertilizer use efficiencies of N and K decreased with increasing N and P levels. However, P fertilizer use efficiency increased first and then decreased with increasing P levels. The highest grain yield (2 231 kg·hm-2) was obtained from the treatment E (N∶P2O5∶K2O=10∶05∶05), followed by the treatment K (N∶P2O5∶K2O=1∶043∶057, which was 2 065 kg·hm-2. Effects of yield component factors on grain yields of rapeseed decreased in the order: effective pod numbers per plant>seeds per pod >1000-seeds weight． Key words: Effects of different NPK ratios on nutrients absorption,carbon and nitrogen metabolism, and grain yield of rapeseed [J]. , 2012, 24(1): 0-104.
[10]	SHAO Mei\\|hong;SUN Jia\\|yan;LIN Bao\\|gang;ZHANG Dong\\|qing;* . High yield cultivation mechanism of direct-seeding rapeseed (Brassica napus L. cv. Zheyou-18) [J]. , 2011, 23(6): 0-1072.
[11]	TANG Xiao;QIU Cong-ping;JIA Juan;LIN Wei;PAN Feng;YANG Ying-zhen. Dynamic analysis of total flavonoids in Solidago canadensis L． [J]. , 2011, 23(5): 0-966.
[12]	CAO Chun-xin;LIU Xin-hua;ZHOU Qin;JIANG Qiao-jun;YUAN Ming-an;JIANG Hai-dong;*. Effects of excessive zinc stress on growth, yield, nutrient uptake and enrichment characteristics of zinc in above-ground organs of rapeseed (Brassica napus) [J]. , 2011, 23(4): 0-791.
[13]	JIANG Yu-rong;CHEN Guo-lin. Studies on developmental genetic mechanisms for glycine content of rapeseed meal (Brassic napus* L.) in different enviroments [J]. , 2011, 23(3): 0-454.
[14]	SHAN Ying-jie;JIANG Li-na;*;WANG Qiang;PAN Jian-qing;LI Jian-qiang. Relationship of N, P, K fertilizer efficiency on rapeseed yield and soil test value in main rapeseed production area of Zhejiang Province [J]. , 2010, 22(4): 0-501.
[15]	SUN Hong;TANG Jiang-WU;GE Xiang-yang;*. Optimization of conditions in solid-fermentation of rapeseed meal using response surface methodology [J]. , 2009, 21(3): 0-306.