中国玉米期货市场的价格引导作用究竟有多大？——基于VECM模型的实证分析

How does Chinese Corn Futures Price Lead in World Market？--The Empirical Analysis Based on the VEC Model

基于Johansen协整分析、向量误差修正模型（VECM）以及方差分解等计量分析方法对中国的玉米期货市场、玉米现货市场、CBOT玉米期货市场以及中国大豆期货市场四者之间的动态关系与相互冲击机制进行了深入的研究。研究发现：四个市场的一阶非平稳的时间序列构成了协整关系，即它们之间具备了长期均衡关系，中国玉米期货市场对现货市场以及存在关联性的大豆期货市场具有良好的价格发现与引导功能。但是由于我国玉米产业对外开放程度不够，所以我国的玉米期货在国际玉米定价体系中还没有达到支配性的地位。

This paper studies the dynamic relationship and interaction among Chinese corn futures market, international corn futures market, corn spot market and soybean futures market by using the Johansen co-integration analysis, Vector Error Correction Model and the Variance Decomposition Method. We find that there exists co-integration relationship among these non-stationary prices series. Namely there is long-term equilibrium relationship. The corn futures market leads the others＇ prices. But because of the low opening level of Chinese corn industry, the corn futures market can not dominate in the world.