国外期货价格与国内期货价格之间的动态关系反映了期货市场的运行效率。基于Johansen协整分析、因果关系检验以及脉冲响应等计量方法对国际CBOT豆类期货市场与国内DCE豆类期货市场的传导关系、传导路径、传导效率等进行了深入的分析。结果发现：国际豆类期货价格对国内豆油期现货传导作用比国内豆类期货价格更强；DCE豆油现货价格与CBOT豆油期货，DCE大豆1号期货价格与DCE豆油现货价格之间存在长期协整关系，而与CBOT大豆期货、CBOT豆粕期货、DCE大豆2号期货以及DCE豆粕期货价格之间并不存在长期协整关系。%The conduction relations between foreign futures price and the domestic futures price reflects efficiency of the futures market .This paper examines the conduction relations ,conduction path ,transmission ef-ficiency between the international and domestic beans futures market beans futures market based on the Johan -sen cointegration analysis , granger causality test and impulse response .The results showed that:international beans futures prices had greater effect on domestic soybean oil phase spot conduction than on domestic beans futures price;the long-term co-integration exists between domestic soybean oil spot price and CBOT soybean oil futures,and between domestic soybean 1 the futures price and spot price of domestic soybean oil while such relation is not found among the prices of CBOT soybean futures ,CBOT soybean meal futures ,domestic soybean 2 futures and domestic soybean meal futures .
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