A Granger Causality Method to Testing Relations between Price of Agro-Share Sector and National Agriculture Economy

摘要

In this paper, the cross-correlation analysis methods and Granger causality test methods are applied to inspect the relationship between main agricultural economic variables and agricultural stock price index. The research results indicate that the agricultural index can reflect ahead of 6-9 months the change of the main agricultural economic variables such as gross agricultural products, and plays a role of "barometer" to some extent for agricultural economy.