Essays on Economic Policy (ESPE in Spanish) - Study on Spillover Effect Between International Soybean Market and China's Domestic Soybean Market
En la revista Ensayos sobre Política Económica (ESPE) divulgamos los resultados y las propuestas de política que surgen de investigaciones académicas realizadas en el Banco de la República. Cuando nos lea, tenga siempre presente que el contenido de nuestros artículos, así como los análisis y conclusiones que de ellos se derivan, son exclusiva responsabilidad de sus autores. El material divulgado en nuestra revista ESPE no compromete ni representa la opinión del Banco de la República ni la de su Junta Directiva.
Abstract
Due to high import dependency, China's domestic soybean market became unstable and soybean production was lingering and declining. It would be better to know the correlation between international and China's domestic soybean market for policy-making and production decision. This study used data of CBOT soybean futures price, imported soybean distribution price at Qingdao port and soybean spot price in China from September 10, 2011 to November 19, 2016 and chose multivariate GARCH model to check the spillover effect and correlation between them. The results showed that price volatilities of three markets had significant clustering effect while GARCH effect was stronger than ARCH effect. The spillover effect and correlations between markets were remarkable. It demonstrated the imported soybean market was significantly affected by the international soybean future market volatility, and such instability then resulted in violent fluctuations of China's domestic soybean spot market. Policies should be made to keep China's soybean industry safe and developed.
