Study On Co-Movement Between U.S. Commodity Futures Markets And Chinese Import Prices Of Bulk Goods

As the international economic integration deepening, if the information transfers efficiency of international bulk goods prices has been strengthened? How its transmission direction? This paper aims to study the quantitative relationship between the prices of U.S. commodity futures and China’s import goods. First of all, this paper describes the background of China’s import trade and commodity securitization, then, reviews existing domestic and foreign literatures, and choose soybean, cotton, sugar, timber and lumber, crude oil as my simple, exploring the static and dynamic relationship between the two markets. Static analysis (data stationary test, non-conditional correlation analysis, co integration, etc.) and dynamic analysis exits mean and volatility spillovers effects. Volatility based on BEKK-GARCH model, the results show that China’s soybean import market has unidirectional spillover effects to the U.S. soybean futures market, and the U.S. soybean futures market has the same effects to China’s cotton import market. The U.S. crude oil futures markets has the one-way spillover effects to China’s soybean and sugar import markets. This paper ends with further interpreting the empirical results.