Risk Spillover Effects In Sino-us Soybean Futures Markets Under China's Different Price Support Policies

Due to the trade war,which was caused by trade protectionism,the price fluctuations of soybean futures in the United States and China has increased.After many consultations between China and the United States,we agreed to take measures to promote the balance of trade,to expand soybean imports from the United States.This is bound to squeeze the living space of soybean farmers in China,our country should and is currently protecting the income of soybean farmers through price support policy;however,the proposal of price support policy will most likely affect the correlation between the price of soybean futures in China and the international market.It is necessary for us to find a policy which meets our national conditions and makes our soybean futures market more marketable while ensuring farmers have the motivation to plant soybeans;therefore,it is of important theoretical value and practical significance to study the impact of different price support policies on the risk correlation of domestic and international soybean future markets.In this paper,the samples were divided into four sub-samples according to the soybean price support policy issued by the Chinese government.Through the EGARCH model and the value at risk(VaR)formula we were able to calculate the value at risk of each sample interval.Afterwards,we used the vector autoregressive model,granger causality test,impulse response function and vaiance decomposition to study the change of risk spillover in sino-us soybean futures market in different price support policies.Research findings in this paper:Before the implementation of price policy,our soybean futures market was strongly affected by the risk spillover of the soybean futures market in the United State for a long period of time.The implementation of the soybean stockpiling policy and the target price subsidy policy reduces the risk correlation of soybean futures prices in China and the United States.The government's price intervention in the soybean market has prevented the domestic soybean future market from functioning effectively,and the risk correlation between domestic and international soybean futures markets has been strengthened after the implementation of the market-oriented acquisition and subsidy policy.The policy of market-oriented acquisition and subsidy can protect the price of soybeans and liberalize the market.Therefore,we should stick to the market-oriented reform and constantly improve our price support policy for soybeans,so as to enhance the correlation between the Chinese soybean futures market and the international soybean futures market while guaranteeing the income of soybean farmers.We should accelerate the development of soybean futures no.2 and adjust our thought of the soybean industry development appropriately.