Research On The Linkage Effect Between International Crude Oil Futures And China’s Grain Market

With the gradual promotion of biomass energy alternatives to fossil energy using grains as raw materials for production worldwide,grain prices are increasingly affected by international crude oil prices.my country is a country with a large population,and the stability of grain prices is very important.By observing the price trend of international crude oil futures and Chinese grain futures,it is of great practical significance to study the linkage between them.After introducing the background of the topic selection and related research at home and abroad,this paper explains the related theories and categories of the linkage effect.Then,it summarizes and analyzes the international crude oil futures market and my country’s grain futures market,as well as the price transmission mechanism between the two futures markets.Then this paper divides the data sample into two stages with the time node on December 31,2015,uses Granger causality and vector autoregression model to analyze the mean spillover effect,and uses the DCC-MGARCH model to study the volatility spillover effect.The analysis of the mean spillover effect shows that the international crude oil futures price can guide the prices of two grain futures(soybean and corn)in both the first stage and the second stage,but has no price guiding effect on wheat futures.Conversely,none of the three grain futures prices can guide the international crude oil futures prices,that is,the international crude oil futures have a one-way mean spillover effect on some domestic grain futures,and the price impact of international crude oil futures has an impact on the price of Chinese grain futures prices.Changes have less and less impact.The analysis of the DCC-MGARCH model shows that whether in the first or second stage,the international crude oil futures have a one-way volatility spillover effect on corn and soybean grain futures,and there is no volatility spillover effect with wheat futures.Some grain futures have a one-way volatility spillover effect.And the significance degree of the dynamic correlation coefficient of soybean,corn,wheat futures and international crude oil futures showed a decreasing trend.