油脂类期货是中国农产品期货市场的重要组成部分，深入探讨中国油脂类期货市场的同期和跨期联动关系对预防价格剧烈波动、防范风险外溢和稳定市场预期具有重要的现实意义。基于2013年1月1日至2019年1月31日期货市场价格的日度数据，通过构建DAG-SVAR模型，分析了8种中国油脂类期货的价格联动关系。研究表明：中国油脂类期货合约之间存在显著的价格联动现象，且价格传导具有同期因果关系；国产大豆期货和菜籽粕期货是价格传导的源头，豆油期货在3种油脂期货价格联动中处于中心位置；国产大豆期货价格的冲击影响全局，进口大豆期货价格的冲击对其他期货品种影响很小。为防范油脂类期货价格剧烈波动带来市场风险，应加强对黄大豆1号期货、豆油期货的价格监测、预警，在必要时进行政策干预。
Vegetable oil related futures are an important part of China's agricultural futures market.Deeply discussing the simultaneous and intertemporal linkages of China's oil futures market is of great practical significance for preventing sharp price fluctuations, preventing risk spillovers and stabilizing market expectations. Based on the daily data of futures' prices from January 1, 2013 to January 31,2019, this paper constructs a DAG-SVAR model to analyze the price linkages of eight kinds related vegetable oil futures in China. The results show that there are significant price linkages among vegetable oil related futures in China, and the price transmission have causal relationships in the same period; Domestic soybean futures and rapeseed meal futures are the sources of price transmission, and soybean-oil future is the core of three vegetable oil futures; the domestic soybean futures' prices affects all the related futures' prices, while the imported soybean futures' price shocks have little impact on other futures. To prevent the market risk caused by the sharp fluctuation of oil futures' prices, we should strengthen the price monitoring and early warning of NO.1.soybean futures and soybean-oil futures, and intervene in policy when necessary.
[1] 邓婷鹤. 世界油料、油脂供需及贸易格局分析[J]. 中国油脂,2015,40(9): 1-6.
[2] 郑金英,翁欣. 国际转基因大豆对中国大豆产业及其期货市场的影响[J]. 亚太经济,2015(5):39-46.
[3] 孟桂元,李梦阳,周静,等. 我国主要植物油料及油脂生产与需求分析[J]. 中国油脂,2016,41(10):1-5.
[4] 武玉环,秦富. 中国豆粕价格波动分析及预测[J]. 农业展望,2018,14(6):14-20.
[5] PINDYCK S,ROTEMBERG J. The excess co-movement of commodity prices[J]. Economic Journal,1990, 100(403):1173-1189.
[6] DAWSON J, SANJUÁN I, WHITE B. Structural breaks and the relationship between barley and wheat futures prices on the London International Financial Futures Exchange[J]. Review of Agricultural Economics, 2006, 28(4):585-594.
[7] BECKMANN J, CZUDAJ R. Volatility transmission in agricultural futures markets[J]. Economic Modelling, 2014, 36:541-546.
[8] BHAR R, HAMORI S. Linkages among agricultural commodity futures prices:some further evidence from Tokyo[J]. Applied Economics Letters, 2006, 13(8):535-539.
[9] CASHIN A, MCDERMOTT J, SCOTT M. The myth of comoving commodity prices[EB/OL].(1999-12-30)[2019-02-10].https://www.inf.org/external/pubs/ft/wp/1999/wp99169.pdf.
[10] DAWSON J, WHITE B. Interdependencies between agricultural commodity futures prices on the LIFFE[J]. Journal of Futures Markets:Futures, options and other derivative products, 2002, 22(3):269-280.
[11] BOOTH G, CINER C. Linkages among agricultural commodity futures prices:evidence from Tokyo[J]. Applied Economics Letters, 2001, 8(5):311-313.
[12] 柳苏芸,韩一军,石自忠,等. 基于MS-VAR模型的我国大豆市场波动特征分析[J].华南理工大学学报(社会科学版),2017(2):45-52.
[13] 马述忠,汪金剑,冯晗. 期现货市场风险传导研究——以我国大豆市场为例[J]. 贵州师范大学学报(社会科学版),2011(3):37-43.
[14] 时凯. 基于产业链价格的金融风险传导机制研究——以大豆产业链为例[J]. 时代金融,2018(27):35-38,47.
[15] 刘晨,安毅. 不同市态下投资者情绪对沪深300股指期货基差的影响——基于分位数回归的实证研究[J]. 华南理工大学学报(社会科学版),2019(1):48-60.
[16] MALLIARIS G, URRUTIA L. Linkages between agricultural commodity futures contracts[J]. Journal of Futures Markets, 1996, 16(5):595-609.
[17] MO D, GUPTA R, LI B, et al. The macroeconomic determinants of commodity futures volatility:evidence from Chinese and Indian markets[J]. Economic Modelling, 2018, 70:543-560.
[18] 沈琼,刘小和. 我国油料、植物油的进口特征及品种间的替代性分析[J]. 中国农村经济,2006(5):25-31.
[19] 高颖,郑志浩,吕明霞. 中国大豆进口需求实证研究[J]. 农业技术经济,2012(12):82-87.
[20] 刘艺卓,刘武兵,高颖. 我国棕榈油进口及其对其他植物油的替代效应分析[J]. 农业经济,2014(6):108-110.
[21] IRWIN S, SANDERS D. Financialization and structural change in commodity futures markets[J]. Journal of Agricultural and Applied Economics, 2012, 44(3), 371-396.
[22] 柳松,唐婷斐. 国内外油脂期货市场溢出效应及信息传导关系[J]. 华南农业大学学报(社会科学版),2014,13(1):72-82.
[23] 王骏,蒋荣兵. 全球三大植物油期货市场国际关联性研究[J]. 南京农业大学学报(社会科学版),2008(3):30-37.
[24] 李新建,吴春梅,黄敏学,等. 我国油脂类期货价格之间的联动分析[J]. 华中农业大学学报(社会科学版),2011(2):39-43.
[25] 蔡勋,陶建平. 货币流动性是猪肉价格波动的原因吗——基于有向无环图的实证分析[J]. 农业技术经济,2017(3):33-41.
[26] 杨子晖,周颖刚. 全球系统性金融风险溢出与外部冲击[J]. 中国社会科学,2018(12):69-90.
[27] SPIRTES P,GLYMOUR C,SCHEINES R. Causation,prediction and search[M]. Cambridge:the MIT press,2000.
[28] 杨子晖. 财政政策与货币政策对私人投资的影响研究——基于有向无环图的应用分析[J]. 经济研究,2008(5):81-93.
[29] 赵胜民,方意,王道平. 金融信贷是否中国房地产、股票价格泡沫和波动的原因——基于有向无环图的分析[J]. 金融研究,2011(12):62-76.
[30] 梁琪,李政,郝项超. 中国股票市场国际化研究:基于信息溢出的视角[J]. 经济研究,2015(4):150-164.
[31] 王道平,贾昱宁. 投资者情绪、大宗商品价格与通货膨胀——基于微观调查数据大宗商品信心指数"的分析[J]. 国际金融研究,2018(2):77-86.
[32] PEAR J. Causal diagrams for empirical research[J]. Biometrika,1995,82(4):669-688.
[33] SIMS C A. Macroeconomics and reality[J]. Econometrica,1980(48):1-48.
[34] AMISANO G,GIANNINI C.Topic in structural VAR econometrics[M].New York:Springer-Verlag,1997."
