农产品现货价格与期货价格关联研究

Study on association spot prices and futures prices for agricultural products

农产品现货价格无论从短期还是长期影响期货价格的统计特征都是显著的,通过建立假设,利用VEC模型,选取农产品现货月度数据,根据期货市场日数据加权计算其月度数据,进一步探析了现货影响期货的程度及其机理。逐步控制模型中的其他变量,结果验证其经济意义是历史现货价格数据影响期货价格也是显著的,但是单个农产品现货和期货价格的影响程度是不一致的,有的影响方向是相反的。从单一品种农产品价格来看,现货市场与期货市场相关度极高,对于大豆、棉花、豆粕和强麦来说,现货价格上涨1%,期货价格上涨幅度则分别为0.948%、0.836%、0.873%和0.845%,对于小麦和大豆来说,现货价格上涨1%,期货价格上涨幅度接近1%;期货价格的变动一方面直接受到现货价格的影响,另一方面还受到影响现货价格变动的因素的间接影响。拆借利率、M2、进出口总值的估计系数均显著为正,证实了农产品供求因素(生产量、进口量、出口量、世界总产量、世界总出口量)、货币政策、货币供应量、利率和汇率等的变动,都直接影响到期货价格。农产品现货价格和期货价格是具有联动影响的,因此,适度且分类引导现货价格,建立单品种农产品价格预警机制,平抑农产品期货市场上大的波动,有利于我国农产品期货市场的健康发展;同时,因为期货市场具有价格发现功能,期货价格的稳定对当前的农产品现货也具有引导作用,会促进农产品现货市场的良性发展。

As the spot price of agricultural products has great influence on the futures price regardless of short term or long term,the degree and the mechanism of the futures price affected by spot price will be further explored and analyzed on the basis of assumption and VEC model,selecting the monthly data of the spot price of agricultural products to weigh the monthly data by the daily data of the futures market. To control other variables gradually in the model,the results show that historical data of spot price also affect the futures price obviously in the economic significance,but the spot price of a single agricultural product is inconsistent with the influence degree of the futures price,thus the paper found that some influence direction is opposite. From the point of single varieties of agricultural prices,the relevancy between the spot market and futures market is extremely high. For soybean,cotton,soybean meal and buckwheat,if spot prices rose 1%,futures prices rose 0.948%,0.836%,0.873% and 0.845% respectively. For wheat and soybeans,if spot prices rose 1%,futures prices rose nearly 1%.It could be further inferred that the variation of futures price will be affected directly by the spot price on the one hand and indirectly by the factors influencing the stock price movements on the other hand. The estimated coefficients of lending rates,M2,import and export values are significantly positive,which confirms that the futures price is directly influenced by the changes of the followings：the factors of supply and demand of agricultural products（production,imports and exports,the world total output,total world exports）,monetary policy,money supply,interest rate and exchange rate. The spot price and the futures price have a linkage effect. Therefore,to guide the spot price moderately and classifiedly and to establish an early warning system for the single varieties of agricultural prices can stabilize the large fluctuations of agricultural products futures market,which is conducive to the healthy development of the futures market of agricultural product in China. At the same time,because the futures market possesses price discovery function,the stability of futures price also plays a guiding role for the spot price of the current agricultural products,consequently promoting the sound development of the spot market for agricultural products.