농업경제연구

Korean Agricultural Economics Association

제목 Estimating the Effect of the US-China Trade War on the Relationship between the Prices in the International Feed Grain Futures Markets and China’s Pork Market3)
저자 Yiyang Qiao, Byeong-il Ahn
발행정보 63권 2호 (2022년 6월) 페이지 103~124
초록 We examine the effect of the US-China trade war on the international feed grain futures markets and China’s pork market by using the univariate GARCH model with considering the structural breaks in each market. Granger causality test and the DCC-GARCH model are applied to examine the changes in the relationship between the international feed grain futures market and China’s pork market in the presence of the trade war. The analytical results suggest that the trade war has a significant negative effect on the volatility of international soybean futures price, but it exacerbated volatility in Chinese pork prices. Our empirical results also confirm that a stable causality existed between international soybean futures market and China’s pork market in the pre-trade war period, but it was disrupted after the trade war broke out.
논문파일 KJAE(2022-Vol63No02)-Korean-06.pdf