Correlation analysis of soybean futures prices between China and the United States:Based on wavelet analysis and Copula model
Soybean futures,as an important variety in the trading of agricultural products,is related to China's food security and financial security.This paper selects the daily data of Chinese soybean futures price(Dalian Com-modity Exchange)and American soybean futures price(Chicago Mercantile Exchange)from 2014 to 2023,and uses wavelet analysis to decompose and reconstruct the data of Chinese and American soybean futures price into two parts:Low frequency trends and high frequency details.Then,this paper tests the correlation between low frequency trend and high frequency detail of Chinese and American soybean futures price data by constructing Copula model,and studies the transmission direction between low frequency trends and high frequency details of Chinese and American soybean futures price data.The results show that there is a high correlation between the low frequency trends of soybean futures price data in China and the US,but the correlation between high-frequency details is weak;In terms of transmission direction,there is a two-way relationship between the Sino-US soybean futures market in terms of low frequency trends,but in terms of high frequency details,it only reflects the spillover effect of the US soybean futures market on the Chinese market.
soybean futures pricefood securitywavelet analysisCopula model
万方数据
