Full Length Research Paper

Impact on the Chinese soybean markets from international prices volatility: Empirical study based on VEC model

Yu Zhao^{1, 2*}, Miaomiao Yang¹, Yu Zhang^{1, 2} and Chunjie Qi¹

¹College of Economics and Management, Huazhong Agricultural University, Wuhan, 430070, P. R. C.

²College of Economics and Management, East China Institute of Technology, Nanchang, 330013, P.R.C.

^*Corresponding author. E-mail: math052360@gmail.com.

Accepted 7 June, 2010

 Abstract

The paper uses VEC model to analyze the impact of international prices volatility on Chinese soybean spot and future markets before and since the outbreak of the global financial crisis. The results show that: there is a one-way or both-way leading relation between domestic and international soybean markets; there is an equilibrating mechanism of prices in the world soybean market, which shows that the ability of market correction and the degree of adjustment of the mechanism became higher since the outbreak of the crisis; the future market can reduce the risk of prices volatility; prices volatility in domestic soybean markets is aroused by leading exporters, and there has been a volatility spillover effect between domestic soybean spot market and future market since the outbreak of the crisis.

Key words: Soybean market, soybean import, prices volatility, financial crisis, VEC model.