CAJ | 학술논문

以原油为代表的能源价格变化是近年来影响国际农产品价格波动的主要因素。借助纽交所原油期货和大连大豆期货、玉米期货周数据,利用Johansen协整分析、向量自回归以及脉冲响应等计量方法对国际原油期货市场与大连商品期货市场的大豆和玉米等农产品价格传导关系、传导方向和路径以及传导效率等进行了深入的分析。结果发现：从长期来看,国际原油期货价格与国内玉米期货价格呈现同向波动,原油期货价格每波动1%,则国内玉米价格波动0.186%;从短期来看,国际原油期货价格对农产品价格的传导并不显著。原油期货价格与国内玉米期货价格之间存在单向因果关系,原油期货价格与国内大豆期货价格之间存在双向因果关系,大豆期货市场的运行效率比玉米期货市场更为有效,国内大豆的定价权在进一步增强。
이원유위대표적능원개격변화시근년래영향국제농산품개격파동적주요인소。차조뉴교소원유기화화대련대두기화、옥미기화주수거,이용Johansen협정분석、향량자회귀이급맥충향응등계량방법대국제원유기화시장여대련상품기화시장적대두화옥미등농산품개격전도관계、전도방향화로경이급전도효솔등진행료심입적분석。결과발현：종장기래간,국제원유기화개격여국내옥미기화개격정현동향파동,원유기화개격매파동1%,칙국내옥미개격파동0.186%;종단기래간,국제원유기화개격대농산품개격적전도병불현저。원유기화개격여국내옥미기화개격지간존재단향인과관계,원유기화개격여국내대두기화개격지간존재쌍향인과관계,대두기화시장적운행효솔비옥미기화시장경위유효,국내대두적정개권재진일보증강。
Fluctuation of crude oil prices is the most important factor affecting international agricultural products price in recent years. We focus on price movements between crude oil futures and a series of agricultur- al commodities. A comparative framework is applied to identify changes in relationships through time and various cointegration methodologies and causality tests. The results indicate that co- movement is a dynamic concept and that some economic and policy development may change the relationship between commodities. In the long run, when the OIL price increases 1%, the CORN price fluctuates 0. 186% ; however, in the short term, no sig- nificant relations exist in prices between agricultural commodities and OIL; And international crude OIL futures and domestic soybean futures do not undergo similar fluctuation. All these suggest that the effect of international crude OIL futures on domestic corn futures is more significant than on domestic soybean futures.