Causality of Future and Spot Grain Prices Between China and the US：Evidence from Soybean and Corn Markets Against the Surging Import Pressure

As the boom of the world grain market phases out, the challenge for Chinese government has gradually moved from retarding grain exports to restraining imports. This study tries to examine the causalities of soybean and corn price movement among the United States（US） future market, Chinese domestic f...

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Published inJournal of Shanghai Jiaotong University (Science) Vol. 21; no. 3; pp. 374 - 384
Main Author 曹正伟 顾海英 周伟民 阎淑琴 伊东正一 磯田宏
Format Journal Article
LanguageEnglish
Japanese
Published Shanghai Springer Science and Business Media LLC 01.06.2016
Shanghai Jiaotong University Press
Subjects
Adjustment
Architecture
Computer Science
Corn
Electrical Engineering
Engineering
Grains
Imports
Life Sciences
Markets
Materials Science
Pricing
Soybeans
Spots
F 310
grain
spot price
future price
causality
Online AccessGet full text
ISSN1007-1172
1995-8188
DOI10.1007/s12204-016-1736-x

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Summary:As the boom of the world grain market phases out, the challenge for Chinese government has gradually moved from retarding grain exports to restraining imports. This study tries to examine the causalities of soybean and corn price movement among the United States（US） future market, Chinese domestic future market and Chinese spot markets. We find that the daily prices of all these three types of grains belong to I（1） series, and there are long-run integrations. Also Chinese soybean future prices adjust more quickly than its spot prices, while Chinese corn future prices adjust slower. This paper finds that the soybean price movement originates from the US future market, then passes through Chinese future market, and finally reaches Chinese spot market, while the corn price movement starts in Chinese spot market, then spreads to the future markets in both China and the US.Finally, this paper also provides some policy implications on how to release the pressure from the grain imports.
Bibliography:As the boom of the world grain market phases out, the challenge for Chinese government has gradually moved from retarding grain exports to restraining imports. This study tries to examine the causalities of soybean and corn price movement among the United States（US） future market, Chinese domestic future market and Chinese spot markets. We find that the daily prices of all these three types of grains belong to I（1） series, and there are long-run integrations. Also Chinese soybean future prices adjust more quickly than its spot prices, while Chinese corn future prices adjust slower. This paper finds that the soybean price movement originates from the US future market, then passes through Chinese future market, and finally reaches Chinese spot market, while the corn price movement starts in Chinese spot market, then spreads to the future markets in both China and the US.Finally, this paper also provides some policy implications on how to release the pressure from the grain imports.
causality grain future price spot price
31-1943/U
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ISSN:1007-1172
1995-8188
DOI:10.1007/s12204-016-1736-x