Causality of future and spot grain prices between China and the US: Evidence from soybean and corn markets against the surging import pressure

Zhengwei Cao, Haiying Gu, Weimin Zhou, Shuqin Yan, Shoichi Ito, Hiroshi Isoda

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

As the boom of the world grain market phases out, the challenge for Chinese government has gradually moved from retarding grain exports to restraining imports. This study tries to examine the causalities of soybean and corn price movement among the United States (US) future market, Chinese domestic future market and Chinese spot markets. We find that the daily prices of all these three types of grains belong to I(1) series, and there are long-run integrations. Also Chinese soybean future prices adjust more quickly than its spot prices, while Chinese corn future prices adjust slower. This paper finds that the soybean price movement originates from the US future market, then passes through Chinese future market, and finally reaches Chinese spot market, while the corn price movement starts in Chinese spot market, then spreads to the future markets in both China and the US. Finally, this paper also provides some policy implications on how to release the pressure from the grain imports.

Original languageEnglish
Pages (from-to)374-384
Number of pages11
JournalJournal of Shanghai Jiaotong University (Science)
Volume21
Issue number3
DOIs
Publication statusPublished - Jun 1 2016

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Corn
Causality
China
Soybean
Import
Spot market
Futures prices
Pass-through
Government
Grain market
Spot price
Policy implications
Chinese market

All Science Journal Classification (ASJC) codes

  • General

Cite this

Causality of future and spot grain prices between China and the US : Evidence from soybean and corn markets against the surging import pressure. / Cao, Zhengwei; Gu, Haiying; Zhou, Weimin; Yan, Shuqin; Ito, Shoichi; Isoda, Hiroshi.

In: Journal of Shanghai Jiaotong University (Science), Vol. 21, No. 3, 01.06.2016, p. 374-384.

Research output: Contribution to journalArticle

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