The empirical research of exchange rate variation effects on price volatility of chinese agricultural commodity futures markets

Through the application of cointegration test, Granger causality teat and CGARCH model, this paper makes empirical research on the impacts of exchange rate variation since the reform of RMB exchange rate on the volatility of wheat, soybean and corn futures market prices. The findings indicate that the characteristics of transitory and permanent volatility, the persistence and the asymmetric effects of wheat, soybean and corn futures market prices volatility are different respectively; the impacts of exchange rate variation on the volatility of the three agricultural commodities futures prices are not significant due to the RMB exchange rate kept basic stability and its fluctuations maintained at a reasonable and balanced level.