【摘要】 大豆是大豆油的原材料,大豆的期货价格变动是否顺向影响了豆油的期货价格?豆油的期货价格变动是否反向影响了大豆的期货价格?运用大连商品交易所2006年1月9日至2016年8月4日10年的经验数据,使用黄大豆1号收盘价和豆油的收盘价构建VAR模型进行实证分析,并通过Granger因果关系检验、方差分解分析和脉冲响应函数表明:大豆期货价格的变动对豆油期货价格的变动具有明显地顺向影响和贡献度,豆油期货价格变动对大豆期货价格变动的反向影响不明显。更多还原

【Abstract】 Soybean is the raw material of soybean oil.Does the change of soybean futures prices affect the change of soybean oil futures prices or vise versa?In this paper,a case study is given to analyze the construction of VAR model with the closing price of yellow bean No.1and soybean oil in Dalian Commodity Exchange from Jan.9th,2006 to Aug.4th,2016.Through Granger causality test,variance decomposition analysis and impulse response functions,it indicates that the effects of the change of soybean oil futures prices on the change of soybean futures price are not obvious,while the change of soybean futures prices has obvious influences and high contribution on the change of soybean oil futures prices.更多还原