豆粕现货价格对期货价格的影响--基于VAR 模型的实证分析.

As an excellent category for futures trading, soybean meal futures have shown an orderly and positive development trend since its listing, which has been favored by many investors in futures market. Exploring linkage between soybean meal futures prices and spot prices is beneficial for reducing the impact of price fluctuations on soybean meal industry and providing support for stabilizing agricultural product futures market. Taking monthly data from August 2009 to August 2021 as samples, the paper uses VAR model, impulse response function and variance decomposition to test impact of soymeal spot price on futures price. The results showed that the response period of soybean meal futures price to spot price shock is 2 years, and the contribution rate of soybean meal spot price to futures price is 6.97% in the second year. The research shows that the spot price of soybean meal has a significant promoting effect on the futures price. [ABSTRACT FROM AUTHOR]