全球大豆市场的领导力转变:动态连接方法 (TVP-VAR)
Gustavo María Barboza Martignone1,2, Bikramaditya Ghosh3, Karl Behrendt1,2
1FLAM Department, Harper Adams University, Newport, TF10 8NB, UK.
Heliyon
|August 30, 2024
概括
国际大豆市场已经成熟并相互联系,特别是在西方地区. 南美港口现在领先于价格发现,与亚洲市场的连接较少.
科学领域:
- 农业经济学 农业经济学
- 金融计量经济学 金融计量经济学
- 市场分析市场分析
背景情况:
- 国际大豆市场的价格传播得到了充分的研究,但动态关系需要先进的计量经济学方法.
- 时间变量参数向量自回归 (TVP-VAR) 模型的近期进展允许分析不断变化的市场连接.
研究的目的:
- 调查全球大豆市场内的动态联系和价格领导力.
- 确定关键国际大豆贸易中心的风险冲击发射者和接收者.
主要方法:
- 基于TVP-VAR模型的动态连接方法的应用.
- 使用通用预测错误差异分解 (GFEVD) 和通用冲动响应函数 (GIRF).
- 分析2009-2019年美国 (CBOT),欧洲 (鹿特丹),巴西 (帕拉纳瓜),阿根廷 (罗萨里奥) 和中国 (Spot和大连期货) 的大豆市场.
主要成果:
- 大豆市场表现出高度成熟和对冲击的弹性.
- 西方市场 (芝加哥,鹿特丹,帕拉纳瓜,罗萨里奥) 显示出强大的内部联系.
- 西部和东部 (中国) 市场之间的联系相对较低,表明细分.
结论:
- 帕拉纳瓜和罗萨里奥已经成为主要的价格领导者,超过了鹿特丹.
- 芝加哥,罗萨里奥和帕拉纳瓜形成了领先的价格三元制,罗德丹扮演了次要的角色.
- 调查结果强调了全球大豆贸易中不断变化的价格领先地位和区域市场整合动态.
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