中国农产品期货市场通货膨胀预期成分分解——基于修正F-F模型与Hamilton方法

A Decomposition of Expectations Components of Currency Inflation in the Market of Agricultural Futures——An Analysis by the F-F Mode and Hamilton Model

借鉴并修正F-F模型和Hamilton方法,根据农产品价格与CPI关系建立通货膨胀预期模型,可将CPI分解为可预期部分和不可预期部分,结果表明农产品期货价格隐含有效的农产品价格预期信息,且能够事前模拟CPI通胀走势与方向,体现出重要的信息窗口功能。应将农产品期货价格纳入前瞻性货币政策视野,依据各期货品种对CPI通胀预期功能编制分类农产品期货价格指数。相关检验说明,期货交易的套期保值者仍以农产品加工和以农产品作为原料的企业为主,需要创造农户利用期货市场稳定农产品价格的条件。

By referring to and revising the F-F Mode and Hamilton Model,a model of currency inflation expectations was established based on the relationship between agricultural product prices and CPI,by which CPI was decomposed into expectable and non-expectable parts. The results show that the prices of agricultural futures hide effective future information of agricultural product prices,and can simulate the trend and direction of CPI currency inflation,hence working as an important info window. In this connection,the future prices of agricultural products should be brought into the vision of forward-looking currency policies,and the price index of agricultural futures should be classified according to different effects of kinds of futures on CPI currency inflation expectations. The related check indicates that the hedgers of futures exchange are mainly processors and manufacturers of agricultural products. Therefore,conditions are to be created for the farm households to stabilize the prices of agricultural prices by means of futures market.