School of Finance, Anhui University of Finance and Economics, Bengbu 233030, China

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Abstract—Based on the classical regression model, timevarying coefficient model, unit root, co-integration, Granger causality test, VAR, impulse response and variance decomposition, the dynamic relationship between prices of natural rubber futures in China and Japan has been researched systematically. The following conclusions are gotten through empirical researches: Firstly, there is a stable co-integration relationship between prices of natural rubber futures in China and Japan. Secondly, the timevarying coefficient model is superior to the classical regression model. The influence of price of natural rubber futures in Japan on price of natural rubber futures in China is time-varying. In the long run, the impact of natural rubber futures in Japan on natural rubber futures in China has been gradually increased. Thirdly, the influence of price of natural rubber futures in Japan on price in China is greater than the influence of price in China on price in Japan.

Index Terms—Futures, price, time-varying coefficient model, co-integration.

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Cite: Qizhi He, "Research on the Dynamic Relationship between Prices of Agricultural Futures in China and Japan," Journal of Computers vol. 7, no. 9, pp. 2342-2350, 2012.