Using both single and vector processes, we fitted the Box-Jenkin’s ARIMA model and the Vector Autoregressive model following the Johansen approach, to forecast soy bean and green bean prices on the Chinese futures markets. The results are encouraging and provide empirical evidence that the vector processes perform better than the single series. The co-integration test indicated that the null hypothesis of no co-integration among the relevant variables could be rejected. This is one of the most important findings in this paper. The purposes for analyzing and modeling the series jointly are to understand the dynamic relationships over time among the series and improve the accuracy of forecasts for individuals series by utilizing the additional information available from the related series in the forecasts for each series.