CHINESE ACADEMY OF INTERNATIONAL TRADE
AND ECONOMIC COOPERATION
MINISTRY OF COMMERCE, P. R. CHINA

Wed.29/10/2014

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XueguiLIN*

AbstractSharp fluctuation of soybean prices in international and domestic markets hascaused big risks for both domestic soybean producers and processing enterprises in recent years. It also increases the difficulties in implementing price stabilization policy for the government. This paper analyzes the volatility spillovers in soybean prices between international and domestic markets usingthe multivariate VAR-BEKK-GARCH model based on the data set from the December22, 2004 to December 19, 2014. The estimate results indicate that there arevolatility spillover effects from domestic futures market to spot market andbilateral spillover between international futures market and domestic spotmarket. In order to prevent market manipulation and to reduce the impacts ofprice volatility in international soybean market on Chinese market, this paper proposes the following policy measures such as establishing early warning mechanism for soybean price fluctuations, improving soybean futures contract design and strengthening trading risk management mechanism, amplifying information disclosure system, and regularizing speculation activities of bigtraders.

The author is theassociate research fellow of the Institute of International Development Cooperation.

AsianAgricultural Research (February 2018)

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