Cotton market integration and the impact of China's new exchange rate regime
研究中国棉花市场与国际市场（尤其是美国市场）的整合程度，发现中美棉花期货价格存在长期协整关系，且中国汇率改革和贸易自由化对市场有重要影响。
Abstract This article studies the integration of China's cotton market with the international market, especially the U.S. market. Investigating the futures prices from the Intercontinental Exchange (ICE) in the U.S. and the Zhengzhou Commodity Exchange (ZCE) in China with several time series models, we find that a long‐run cointegration relationship exists between these two series. The two markets share price transmissions, and based on results from an Autoregressive Conditional Heteroskedasticity (ARCH) model, we find their price volatilities are similar. We argue that China's recent exchange rate reform and its gradual liberalization in bilateral cotton trade since it joined World Trade Organization have had important impacts on these futures markets. Based on these findings, several important economic and policy implications are derived.