【作者】 徐建；

【导师】 王英；

【作者基本信息】 南京航空航天大学 ， 金融学， 2009， 硕士

【摘要】 加入WTO以后,我国大豆市场不断开放,面对国际市场的冲击,过高的对外依存度和大豆定价权的缺失,不断威胁着我国的大豆产业安全以及国家的粮食安全。基于产业安全视角,对我国大豆定价权的深入研究,可以为我国争取其他大宗商品定价权和维护国家粮食安全提供借鉴。本文在对相关理论综述的基础上,运用相关分析、协整性检验、因果性检验和Hasbrouck的信息共享模型等计量方法和模型,对我国大连商品交易所(DCE)的大豆期货价格和美国芝加哥期货交易所(CBOT)的大豆期货价格进行系统的实证分析。结论如下:(1)DCE与CBOT之间的大豆期货价格具有很高的关联性,相关性在90%以上,且日益加强。两个市场的大豆期货价格存在着长期稳定的均衡关系,即协整关系。(2)格兰杰因果关系检验显示,DCE与CBOT的大豆期货价格关系,从2001-2004年的单向引导关系,变成了2005-2008年间的双向引导关系,由此可知,DCE已不再是国际大豆定价过程中的被动接受者,而是一个重要的参与者。(3)通过Hasbrouck的信息共享模型检验,DCE在国际大豆定价体系中的地位与CBOT还有一定的差距,DCE的信息贡献度为41.89%,CBOT为58.11%。阶段性的对比分析显示,这种差距在不断的缩小,说明我国大豆期货市场的发展是显著的,定价地位在不断的提高。结合这些结论,本文最后从国家粮食安全的角度提出了大力发展我国大豆期货市场的内部和外部举措。更多还原

【Abstract】 Chinese soybean industry safety and national food safety are threatened since the lack of soybean price decision right under the impact from the international market. The deepen research on the Chinese soybean pricing right from the angle of industry safety could bring several reference about the commodities pricing rights fetching as well as the national food security sustaining. Based on the relevant theories,this article use the relevant analysis, co-integration analysis, causality test as well as the Hasbrouck information share mode to implement a empirical study on the soybean future price between DEC and CBOT.There are two results found out.(1)There exists a extremely high soybean price revelation between DEC and CBOT, namely 90%. The balance relation is long-term and stable, which is so called co-integration relation.(2) The Granger causality test shows that the relationship had changed into bilateral during 2005-2008, while the relationship was unilateral during 2001-2004. The result tells that the DCE is a important player rather than a accepter in international soybean pricing process. (3) Through Hasbrouck information share mode, the DCE contributes 41.89% while the CBOT contributes 58.11%, which tells sort of distance. But the phase comparison analysis argues the distance is diminishing, and somehow suggests that Chinese soybean future market gains a remarkable development which enhances the position of the pricing process. Finally, the paper gives several inner and outer measures to development Chinese soybean future market from the angel of national food security.更多还原