Research Of Novel Coronavirus Pneumonia On Price Linkage Between Chinese And American Agricultural Futures

The continuous improvement of the integration of the global financial market has deepened the price linkage between domestic and foreign financial markets.Among them,the linkage change of Sino-US agricultural futures prices is particularly prominent.Soybean and corn are the two most imported agricultural products in the United States.The risk of price fluctuation of soybean and corn futures in the United States will be transmitted to domestic soybean and corn futures prices through trade channels.Therefore,it is representative to take soybean and corn futures prices as the research object.After the outbreak of the COVID-19 epidemic in 2020,the prices of soybean and corn futures in the United States have skyrocketed.Whether the linkage between Chinese and American agricultural futures prices has a dynamic change deserves further research and analysis.Based on the daily closing price data of soybean and corn futures on the Chicago Board of Trade(CBOT)and Dalian Commodity Exchange(DCE),this paper uses the quantile Granger causality test and TVP-VAR model to compare and analyze the changes in the price linkage of soybean and corn futures between China and the United States before and after the COVID-19 epidemic from the perspective of quantile and time-varying.The following conclusions are drawn : 1.After the COVID-19 epidemic,there is still a two-way Granger causality between Chinese and American soybean and corn futures prices.From the perspective of quantile,China ’s soybean futures price is no longer affected by the U.S.soybean futures price during the period of stable fluctuation,while China ’s corn futures price is affected by the U.S.corn futures price during the period of stable fluctuation.2.From the perspective of time-varying,after the outbreak of COVID-19,the impact of US soybean futures prices on China ’s soybean futures prices increased significantly and lasted longer,which remained stable in the short term.The US corn futures price has an impact on the Chinese corn futures price in the early stage,and the impact is increasing.Finally,based on the results of theoretical and empirical analysis,this paper puts forward relevant suggestions from the perspective of investors,regulators and government departments.