An attribution analysis of soybean price volatility in China: global market connectedness or energy market transmission?

被引：6

作者：

Zhang, Youwang ^{[1
]}

Li, Chongguang ^{[2
]}

Xu, Yuanyuan ^{[2
]}

Li, Jian ^{[2
]}

机构：

[1] Northeast Agr Univ, Coll Econ & Management, 600 Changjiang Rd, Harbin 150030, Heilongjiang, Peoples R China

[2] Huazhong Agr Univ, Coll Econ & Management, 1 Shizishan St, Wuhan 430070, Hubei, Peoples R China

来源：

INTERNATIONAL FOOD AND AGRIBUSINESS MANAGEMENT REVIEW | 2021年 / 24卷 / 01期

基金：

中国国家自然科学基金;

关键词：

soybean price; price transmission; soybean trade; energy market; transportation costs; OIL; BUBBLES; FOOD;

D O I：

10.22434/IFAMR2019.0144

中图分类号：

F3 [农业经济];

学科分类号：

0202 ; 020205 ; 1203 ;

摘要：

This study examines the impact of international soybean price and energy price on Chinese soybean price. Applied to monthly data over the period of 2007-2017, results show that both international soybean price and energy price have significant impacts on Chinese soybean price, while the impact from global soybean market tends to be more profound. First, we find that in the long run the cumulative pass-through elasticity of Chinese soybean price to international soybean price is greater than the elasticity to international energy price. Second, in the short run, international soybean price shocks transmit more quickly to Chinese soybean price. Our results shed new light on the determinants of soybean price volatility in China, and provide meaningful implications on the price risk management for market participants and policy makers.

引用

页码：15 / 25

页数：11

共 20 条

[1]

[Anonymous], 1995, OUP Catalogue

[2] Agricultural price transmission: China relationships with world commodity markets [J].

Arnade, Carlos ;

Cooke, Bryce ;

Gale, Fred .

JOURNAL OF COMMODITY MARKETS, 2017, 7 :28-40

[3] A quantile autoregression analysis of price volatility in agricultural markets [J].

Chavas, Jean-Paul ;

Li, Jian .

AGRICULTURAL ECONOMICS, 2020, 51 (02) :273-289

[4] Global Oil Prices and Local Food Prices: Evidence from East Africa [J].

Dillon, Brian M. ;

Barrett, Christopher B. .

AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 2016, 98 (01) :154-171

[5]

Fang ChungRou Fang ChungRou, 2014, Issues & Studies, V50, P111

[6] Is China's domestic agricultural market influenced by price fluctuations of the world agricultural commodities in the short-run? [J].

Jiang, Yu ;

Wang, Yu .

AGRICULTURAL ECONOMICS-ZEMEDELSKA EKONOMIKA, 2013, 59 (12) :578-589

[7] ESTIMATION AND HYPOTHESIS-TESTING OF COINTEGRATION VECTORS IN GAUSSIAN VECTOR AUTOREGRESSIVE MODELS [J].

JOHANSEN, S .

ECONOMETRICA, 1991, 59 (06) :1551-1580

[8] Risk Transmission between Chinese and US Agricultural Commodity Futures Markets-A CoVaR Approach [J].

Ke, Yangmin ;

Li, Chongguang ;

McKenzie, Andrew M. ;

Liu, Ping .

SUSTAINABILITY, 2019, 11 (01)

[9] Commodity price bubbles and macroeconomics: evidence from the Chinese agricultural markets [J].

Li, Jian ;

Chavas, Jean-Paul ;

Etienne, Xiaoli L. ;

Li, Chongguang .

AGRICULTURAL ECONOMICS, 2017, 48 (06) :755-768

[10] Food Price Bubbles and Government Intervention: Is China Different? [J].

Li, Jian ;

Li, Chongguang ;

Chavas, Jean-Paul .

CANADIAN JOURNAL OF AGRICULTURAL ECONOMICS-REVUE CANADIENNE D AGROECONOMIE, 2017, 65 (01) :135-157

← 1 2 →