Research on the Conduction Effect of China’s Corn Futures Price—Analysis Based on International Market Factors

DOI

10.2991/aebmr.k.210917.023How to use a DOI?

Keywords

domestic corn futures price, international market factors, VAR model

Abstract

With the increasing correlation between China’s corn futures and the international market, corn futures price fluctuation is closely related to the international market factors. By constructing VAR model, this paper focuses on the influence of four international trade and financial market factors -- international corn futures price, international energy price, US dollar exchange rate and corn import volume. The results of Granger causality analysis show that international energy price, US dollar exchange rate and corn import volume are the Granger reasons for the fluctuation of domestic corn futures. The impulse response analysis showed that the initial impact of the four factors was large, and then the response decreased and gradually approached the level before the impact. The results of variance decomposition analysis showed that the import volume of corn had the strongest impact on the domestic corn futures price, followed by the international energy price and the exchange rate of US dollar, while international corn futures price had the weakest impact.

Copyright

© 2021, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Wan Zhiyi
PY  - 2021
DA  - 2021/09/18
TI  - Research on the Conduction Effect of China’s Corn Futures Price—Analysis Based on International Market Factors
BT  - Proceedings of the 2021 International Conference on Financial Management and Economic Transition (FMET 2021)
PB  - Atlantis Press
SP  - 132
EP  - 136
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.210917.023
DO  - 10.2991/aebmr.k.210917.023
ID  - Zhiyi2021
ER  -