중국의 곡물 선물가격 영향요인 분석 및 한국에 주는 시사점

• 영문명: Analysis of Factors Affecting Grain Futures Price in China and Implications for Korea
• 발행기관: 한국무역연구원
• 저자명: 양항(Hang Yang) 이은화(Yin-Hua Li)
• 간행물 정보: 『무역연구』제17권 제4호, 241~259쪽, 전체 19쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2021.08.30

영문 초록

Purpose - This paper analyzes the factors influencing the grain futures price in China, and then tries to present the implications for Korea. Design/Methodology/Approach - This paper identifies the long-term equilibrium relationship between Chinese grain futures price and each influencing factor through Johansen’s cointegration test, and then analyzes the short-term relationship through Impulse Response function and variance decomposition of prediction errors by setting up a VECM model. The variables used were China Soybean futures price, China Interest Rate, China Soybean Speculative Factors, China Soybean Imports, World Soybean Spot Price, US Soybean Futures Price and World Ethanol Spot Price. Data used monthly statistical data from January 2009 to December 2019. Findings - As a result of the cointegration test, it was found that there is a long-run equilibrium relationship between the Chinese soybean futures price and the influencing factors. As a result of a variance decomposition analysis of the impact response function and prediction error, the US soybean futures price had the greatest impact. The next greatest impacts are listed in order: Chinese soybean imports, world soybean spot prices, world ethanol spot prices, Chinese pork prices, Chinese soybean speculative factors, and Chinese interest rates. Research Implications - This paper systematically analyzed the factors affecting the Chinese grain futures price by introducing speculative factors and pork prices for the first time. If China’s grain futures market opens in the future, it can be expected to become an important investment market. As Korea is also a grain importer, we should keep a close eye on changes in China’s grain market.

목차

Ⅰ. 서론

Ⅱ. 중국의 곡물시장 현황

Ⅲ. 선행연구 검토

Ⅳ. 실증분석

Ⅴ. 결론

References

키워드

Factors of Affecting Futures Price Grain Soybean VECM (Vector Error Correction Model)