农产品金融化对玉米价格波动的传导效应研究

The Transmission Effect of Agricultural Financilization on Corn Prices

传统观点认为,粮食价格波动是市场供求、宏观政策及粮食自身属性等因素共同作用的结果,但近年来其解释力备受争议,而粮食日益增强的金融属性逐渐受到关注。在粮食金融化视角下,基于2004年9月至2016年2月各变量的月度数据,通过构建玉米价格波动的金融化驱动体系,利用ARDL模型可遴选出玉米价格波动显著的金融化影响因素。实证结果表明:期货市场、国际石油价格和人民币兑美元的汇率是影响玉米现货价格波动最显著的力量,同时敏感性检验也验证了这一结论的稳健性。调控玉米价格不仅要关注传统供需力量,还需强化对期货市场和汇率市场的监管。

Conventional view holds that grain price fluctuations are induced by market supply and demand, macroeco- nomic policy and grain itself. But the explanatory power has been controversial in recent years, with the financial property of grain drawing increased attention. From the perspective of financialization of grains, and on the basis of the monthly data of each variable in the period from September 2004 to February 2016, we constructed a financialization driving system for maize price fluctuations and identified the significant financial driving factors for the fluctuations using the ARDL model. The empirical results indicate that the futures market, international oil prices, and the exchange rate of the Chinese yuan a- gainst the US dollar are the most significant factors influencing the spot price fluctuations of corn. The sensitivity test has verified the robustness of this conclusion. Therefore, to control corn prices, it is necessary to not only pay attention to the traditional supply and demand forces, but also to intensify the regulation of the futures market and the foreign exchange market.