An attribution analysis of soybean price volatility in China: global market connectedness or energy market transmission?

Abstract

This study examines the impact of international soybean price and energy price on Chinese soybean price. Applied to monthly data over the period of 2007-2017, results show that both international soybean price and energy price have significant impacts on Chinese soybean price, while the impact from global soybean market tends to be more profound. First, we find that in the long run the cumulative pass-through elasticity of Chinese soybean price to international soybean price is greater than the elasticity to international energy price. Second, in the short run, international soybean price shocks transmit more quickly to Chinese soybean price. Our results shed new light on the determinants of soybean price volatility in China, and provide meaningful implications on the price risk management for market participants and policy makers.

Study on Price Bubbles of China’s Agricultural Commodity against the Background of Big Data

“…Mao et al analyzed the effects of exchange rates, inventories, and trade volumes on corn and soybean futures price bubbles [9]. Zhang et al, meanwhile, concluded that international soybean prices have a stronger effect on Chinese soybean prices than energy prices and are the main driver of soybean price volatility in China [12]. Caspi et al showed that factors such as wars between major oil-producing countries, inflation, changes in supply and demand, and economic growth are important causes of oil price bubbles [28]; however, there are differences in the causes of crude oil price bubbles at different stages [29].…”

“…Although China is a largely agricultural country, its agricultural base is weak, and factors such as natural disasters, animal diseases, speculation [9], and macro-control policies [10] may trigger agricultural price bubbles and generate adverse effects. At the same time, there are fluctuation spillover effects for agricultural prices among different countries [11,12]; it is thus necessary to study agricultural commodity price bubbles. The main purpose of this paper is to establish an analytical framework for agricultural price bubbles and provide a methodology for analyzing the different types of agricultural price bubbles.…”

Trade Patterns in Food Imports to China: Commodities, Trends, and Shifts (1992-2020)

“…This shift, specifically for Chinese grain imports, led to recent research contributions to stability, sustainability, and policies. Specifically, price volatility is widely studied by its financial derivatives (Xiao et al, 2019), direct and indirect relations to the energy market (Zhang et al, 2021), its price support policy (Lyu & Li, 2019), and land use policy (Liu & Zhou, 2021). Meanwhile, sustainability focuses on water distribution and footprint on grain production, such as water stress (Sun et al, 2019), water footprint (Ye et al, 2019), nitrogen-carbon footprints of dairy farm systems (Ledgard et al, 2019), and the established national policies on those matters (Qu et al, 2020).…”