An attribution analysis of soybean price volatility in China: global market connectedness or energy market transmission?-Reference-Cited by-同舟云学术

An attribution analysis of soybean price volatility in China: global market connectedness or energy market transmission?

Published:2021-01-12 Issue:1 Volume:24 Page:15-25
ISSN:1559-2448
Container-title:International Food and Agribusiness Management Review
language:en
Short-container-title:International Food and Agribusiness Management Review

Author:

Zhang Youwang¹,Li Chongguang²,Xu Yuanyuan³,Li Jian⁴

Affiliation:

1. Lecturer, College of Economic and Management, Northeast Agricultural University, 600 Changjiang Road, Xiangfang District, Harbin, Heilongjiang province, 150030, China P.R.

2. Professor, College of Economic and Management, Huazhong Agricultural University, 1 Shizishan Street, Hongshan District, Wuhan, Hubei province, 430070, China P.R.

3. PhD student, College of Economic and Management, Huazhong Agricultural University, 1 Shizishan Street, Hongshan District, Wuhan, Hubei province, 430070, China P.R.

4. Associate Professor, College of Economic and Management, Huazhong Agricultural University, 1 Shizishan Street, Hongshan District, Wuhan, Hubei province, 430070, China P.R.

Abstract

This study examines the impact of international soybean price and energy price on Chinese soybean price. Applied to monthly data over the period of 2007-2017, results show that both international soybean price and energy price have significant impacts on Chinese soybean price, while the impact from global soybean market tends to be more profound. First, we find that in the long run the cumulative pass-through elasticity of Chinese soybean price to international soybean price is greater than the elasticity to international energy price. Second, in the short run, international soybean price shocks transmit more quickly to Chinese soybean price. Our results shed new light on the determinants of soybean price volatility in China, and provide meaningful implications on the price risk management for market participants and policy makers.

Publisher

Wageningen Academic Publishers

Link

https://www.wageningenacademic.com/doi/pdf/10.22434/IFAMR2019.0144

Reference20 articles.

1. Agricultural price transmission: China relationships with world commodity markets

2. A quantile autoregression analysis of price volatility in agricultural markets

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