An empirical study on the relationship between canola oil futures and spot yields in China

Abstract

This paper selects canola oil futures log returns and spot log returns from 2016 to March 2022 in China, and empirically analyzes the relationship between the two based on VAR model, Grand causality test, impulse response, and variance decomposition. The results show that: there is a regression relationship between Chinese rapeseed oil futures returns and spot returns, and they influence each other; the impact of rapeseed oil spot returns on futures returns is weak, and rapeseed oil futures returns have a stronger leading effect on spot returns; the impact between both rapeseed oil futures returns and spot returns is short-term, and the duration is not too long.