中国农产品期货价格与现货价格关系研究——以玉米期货为例

Research on the Relationship between Agricultural Products Futures Prices and Spot Prices in China——Take Corn Futures as an Example

在世界经济的发展过程中,期货市场的作用日益凸显,其中,农产品是其不可或缺的组成部分。文章从中国农产品期货市场现状出发,以期货价格与现货价格关系为研究点,选择大宗交易的玉米期货为例,选取2012年1月到2018年2月大连商品交易所历史行情的玉米期货的周收盘价和我国全国玉米现货的周平均价为样本数据(合计710个数据),采用统计学与计量经济学结合的方法,利用单位根检验、协整检验、误差修正、方差分解等方法对玉米期货与现货的价格波动进行说明,由实验结果可知,玉米期现货价格之间存在长期协整关系,较之现货市场,期货市场对于外部冲击反应更加敏捷,在价格发现中发挥主导作用。期货价格波动单方面引导现货价格波动。

In the development and progress of the world economy,the role of the futures market has become increasingly prominent. Among them,agricultural products are an indispensable part of it. The article starts from the status quo of China＇s agricultural futures market,and uses the relationship between futures prices and spot prices as research points,and selects corn futures for bulk transactions as an example. This study selected corn futures in the history of Dalian Commodity Exchange between January 2012 and February 2018. The weekly closing price and the average weekly price of corn in China are sample data,totaling 710 data. Using a combination of statistics and econometrics,using unit root test,cointegration test,error correction,variance decomposition and other methods to illustrate the price fluctuations of corn futures and spot,the experimental results show that there is a long-term agreement between the spot price of agricultural products. In the overall relationship,compared with the spot market,the futures market reacts more quickly to external shocks and plays a leading role in price discovery. Futures price fluctuations unilaterally guide spot price volatility.