基于VAR的中国大豆期货价格多因素建模研究

AbstractWith the development of science and technology and the advent of economic globalization,the development of futures market is becoming more and more mature,futures can not onlyprovide price reference for spot trading,but also by enterprises and investors as a risk-averse tool,however,futures prices fluctuate from time to time,therefore,to explore the factors behind thefutures price,It is particularly important to discover the price decision mechanism of futures.Based on the rapid development period of futures market,this paper selects the soybean futuresof Dalian Commodity Exchange,which has a strong representation in the futures market,as thetarget,and considers the factors of the impact on soybean futures prices from both economic andmarket factors,so as to supply shock,demand shock and soybean spot price.Chicago CBOTsoybean futures prices are variables,the establishment of China's Dalian Commodity ExchangeYellow Soybean 2 futures price impact factor vector regression model.This paper usesEviews10.0 software for empirical analysis,after screening and processing the influence factorsaffecting soybean futures prices,select 5 variables to establish the vector regression model ofsoybean futures price influence factor,and conduct time series test,ADF unit root test,AfterGranger's cause-and-effect test,the VAR model is established,and the influence factor sits onsoybean futures price by expression analysis and pulse response function and dynamic analysisof variance decomposition,and the influence factor on soybean futures price is studied from theaspects of expression and dynamic analysis.The visual influence of influence factors on soybeanfutures prices is studied by linear expression,and the dynamic influence of pulse responsefunction and variance decomposition is used to study the influence of each influence factor onsoybean futures price.Key words:Soybean Futures;Futures Market;Impact Factors;Vector Self-RegressionModel;Pulse Response Function;Variance Analysis