中美大豆期货价格的均衡关系分析[摘要]随着中国的发展，当今的中国期货市场早已摆脱了发展初期“稚嫩”的外表。从初创阶段的法制不健全、风险认知不足，逐渐稳步发展到如今多元化、程序化、专业化的中国期货市场，越来越多的期货衍生品应运而生。期货也因其具的有价格发现和规避风险的功能在金融市场上占据了一定地位，深受广大投资者的青睐。因此，期货的价格趋势和均衡关系也成为投资者们密切关注的焦点。农业发展作为国家关注的重点，其期货价格也牵动着国民经济的命脉。我国作为大豆进口量最大的国家，期货价格必会受到如此庞大进口量的影响。本文通过我国大豆期货和作为我国大豆主要进口国之一美国的大豆期货之间的价格趋势变化，分析得出两者的关系，进而通过协整检验来建立ECM模型，得出中美大豆期货价格的均衡关系。[关键词]大豆期货；ADF检验；协整检验；ECM模型AnalysisoftheequilibriumrelationbetweenChineseandAmericansoybeanfuturesprices[Abstract]WiththedevelopmentofChina,Chinesefuturesmarkethaslongbeenoutofthe"immature"appearanceoftheearlystageofdevelopment.Fromtheinitialstageoftheimperfectlegalsystem,lackofriskawareness,andgraduallydevelopedtothepresent,diversified,proceduralandspecializedChinesefuturesmarket,moreandmorefuturesderivativescameintobeing.Futuresalsooccupyacertainpositioninthefinancialmarketbecauseoftheirfunctionsofpricediscoveryandriskaversion,andarefavoredbythemajorityofinvestors.Therefore,thepricetrendandequilibriumrelationshipoffutureshavebecomethefocusofinvestors'attention.Agriculturaldevelopmentasthefocusofnationalattention,itsfuturespricesalsoaffectthelifebloodofthenationaleconomy.AsthelargestimporterofsoybeaninChina,thefuturespricewillbeaffectedbysuchahugeimportvolume.ThispaperanalyzestherelationshipbetweenthepricetrendsofsoybeanfuturesandsoybeanfuturesintheUnitedStates,whichisoneofthemajorimportersofsoybeaninChina.ThentheECMmodelisestablishedbycointegrationtest,andtheequilibriumrelationbetweenChineseandAmericansoybeanfuturespricesisobtained.[Keywords]Soybeanfutures;ADFtest;Cointegrationtest;ECMmodel目录前言....................................................................1一、中美期货市场概述....................................................1（一）我国期货市场演进过程..........................................1（二）我国期货交易所及其品种........................................1（三）期货交易基本特征..............................................2（四）美国期货市场..................................................2二、大豆期货市场特点....................................................2（一）大豆的产业链..................................................2（二）大豆的等级规格................................................3（三）影响我国大豆期货价格的因素....................................31．国内的供给需求................................................32．进出口........................................................43．国际宏观市场状况..............................................5（四）中美双方大豆的联系............................................5三、实证研究及结果分析..................................................6（一）数据的收集及预处理............................................61．数据收集......................................................62．数据处理......................................................6（二）最优滞后阶数的确定............................................9（三）协整检验（E-G两步法）........................................111．建立OLS模型进行静态回归.....................
