—来自 DCE、CBOT 农产品期货市场与 NYMEX 原油期货市场.pdf

粮食真的能源化了吗？ —来自 DCE 、CBOT 农产品期货市场与 NYMEX 原油期货市场的经 验证据 夏 天1 (1. 浙江永安期货经纪有限公司, 浙江杭州, 310005) 作者简介： 1 夏天（1979-）男，山东济南人，数量经济学硕士，现供职于浙江永安期货经纪有限公司 信息研发总部。研究方向：期货市场学，金融工程与金融风险管理。 已在《金融研究》、《数 理统计与管理》、《期货与金融衍生品》等国内外核心期刊发表论文十余篇，并被人大复印资 料《统计与精算》分册全文转载一篇，国际论文（英文）被美国 ISTP 检索一篇。曾经参与 国家自然基金，教育部博士点基金各一项。 联系方式： 联系地址：浙江省杭州市潮王路 208 号浙江协作大厦浙江永安期货经纪有限公司信息研发总 部；邮编：310005 ；联系电话EMAIL:summersyar@126.com 。 Is the food being changed into the energy? ——The Empirical Analysis among the DCE、CBOT agricultural Futures Markets and the NYMEX crude oil futures market 1.Xia Tian (ZheJiang Yongan futures broker limited corporation, ZheJiang, HangZhou, China 310005) ABSTRAT: Because the international crude oil prices have continuously made a record high, the biofuel and the other renewable energy concept was constantly mentioned. All the countries also strongly develop their own biofuel according to their situation. Based on the Johansen cointegration analysis, the vector autoregressive and the variance decomposition method, we study the linkage and the interaction mechanism among the agricultural futures markets of the Chicago Mercantile Exchange (CBOT), the Dalian Commodity Exchange (DCE) and the crude oil futures market of the New York Mercantile Exchange (NYMEX), we intend to explain whether there exist the trend that the food is being the energy. Our study found: The corn and the soybean oil futures of the CBOT futures market and the crude oil futures of the NYMEX futures market constitute the cointegration relationship, the three have the relevance and the mutual impact mechanism because of the ethanol and biodiesel. However, because we implement the non-grain oriented policy-oriented, there is no direct correlation among the maize and the soybean oil futures of the DCE future