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本文利用大连商品交易所2006年1月至2015年2月大豆、豆粕和豆油期货的月度数据价格,对它们之间长短期传导的非对称性进行了实证研究。实证结果表明:长期看,我国大豆、豆粕和豆油期货价格三者之间存在长期协整关系,表现出大豆价格向豆粕价格和豆油价格传导的扩散趋势;短期看,表现出豆粕价格和豆油价格向大豆价格传导的挤压效应。在此分析的基础上,本文提出稳定大豆压榨产业链相关产品价格的对策建议。
Based on the monthly data of soybean, soybean meal and soybean oil futures in Dalian Commodity Exchange from January 2006 to February 2015, this paper conducts empirical research on the asymmetry of long-term and short-term conduction between them. The empirical results show that in the long run, there is a long-term co-integration relationship between soybean, soybean meal and soybean oil futures in China, which shows the trend of soybean price spreading to soybean meal and soybean oil price. In the short run, soybean meal, soybean oil and soybean oil Squeezing effect on the price of soybeans. On the basis of this analysis, this paper puts forward countermeasures and suggestions for stabilizing the prices of related products in the soybean crushing industry chain.