我国玉米期货价格预期效应的路径结构关系

Path Structural Relationship of the Corn Futures Price Expectation Effect of China

在玉米市场价格形成过程中,我国玉米期货市场对现货市场具有明显的价格预期效应,表现为滞后3期~5期的期货价是现货价的价格预期。结构方程模型测算显示,宏观因素、国际因素与相关产品价格三个要素对玉米期货价格预期效应具有显著的路径结构关系,且产生直接的正向作用;而期货价格预期效应对期货市场活跃度产生直接的负向作用。与玉米相关产品价格指数相比,我国玉米期货价格预期指数较低,表明玉米市场价格仍有较大的下降空间。

During the process of corn marketization formation, the corn futures market of China has a significant price expectation effect on spot market, which behaves that the lagged 3-5 stage of futures price is the price expectation of spot price. The structural equation model test reveals that macro factors, international factors and related products price have obvious path structure relationship with corn futures price expectation, and also produce direct positive effect; whereas the futures price ex- pectation effect has direct negative effect on futures market activeness. Compared with the price index of corn related products, the corn futures price expectation index of China is lower, which indicates that the corn market price has larger cuts space.