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用运VAR模型,构建了原油价格、美元指数和玉米期货价格之间的动态系统,着重探讨两大国际因素原油价格和美元指数波动对玉米期货价格的影响规律,Granger因果关系分析表明原油价格和美元指数是玉米期货价格变化的Granger原因;由脉冲响应分析和方差分解发现玉米期货价格在原油价格和美元指数受到外界冲击初期会产生波动较大的脉冲响应,之后响应减小,最后又趋于受到冲击之前的水平,总体来说原油价格变动对玉米期货价格的影响要明显强于美元指数变化所产生的影响。
By using the VAR model, a dynamic system of the crude oil price, the US dollar index and the corn futures price is constructed. The impact of the fluctuation of the two major international factors on the futures price of corn is mainly discussed. The Granger causality analysis shows that the crude oil price The US dollar index is the Granger cause of corn futures price changes. From the impulse response analysis and variance decomposition, we find that the corn futures price fluctuates greatly during the initial period when the crude oil price and the US dollar index are impacted by external shocks, then the response decreases and finally tends to Before being hit, the overall impact of crude oil price changes on corn futures prices was significantly stronger than that of the US dollar index.