国际粮价波动的金融属性研究

Study of Financial Nature of Fluctuations in International Grain Price

通过对稻谷、小麦、玉米、大豆四类主要粮食国际价格波动的金融属性研究,得出结论 :四类主要粮食价格与其期货期权数量间存在显著的正相关;四类主要粮食价格都与表示国际游资的美元有效汇率间存在协整关系,美元有效汇率越低,粮食价格越高,而且误差修正项都能将短期偏差拉回到均衡状态;四类粮食期货期权数量与美元有效汇率间也存在长期均衡关系,而且美元有效汇率越低,四类粮食期货期权数量就越多,误差修正项也能将短期偏离拉回到均衡状态。总之,国际粮价波动具有明显金融属性。

Through an empirical study of the financial nature of fluctuations in the international prices of rice, wheat, com and soybean,the article has drawn the following conclusions. There is a significant positive correlation between the price of the four kinds of main food and the number of food futures and options. There is a co-integration relationship between the four main food prices and the international hot money, which is represented by the effective exchange rate of the US dollar. The lower the effective exchange rate of the US dollar is,the higher the price of food is,and the error correction term can bring the short-terni deviation back to the equilibrium state. There is a long-term equilibrium relationship between the number of four main food futures and options and the effective exchange rate of the US dollar. The lower the effective exchange rate of the US dollar is, the more futures and options of the four main food there are, and the error correction term can also bring the short-terni deviation back to the equilibrium state. In short,there is obvious financial nature of the fluctuations in international grain price.