后临储时代玉米期货市场价格发现功能

Study on the Price Discovery of Corn Futures in the Post-temporary Storage Era

后临储时代的玉米市场特征可概括为市场定价、政府调控,先去库存、后求平衡和内外一体、抵住进口。在此大背景下,玉米期现市场总体相关度较低,期现动态相关系数以负相关为主;引导关系以期货单向引导现货为主,期现融合度不高。同时,期货市场价格发现功能尚未很好发挥,期现价格均值均不是交割日现货价格,而且期现价格均值也不相同;偏离度方面期货也总体高于现货,基差风险高于期现价格风险,但期现价格随交割期的临近均呈现向交割日现货价格收拢的态势。据此提出鼓励产业客户参与、规范发展现货市场和加大期货市场监管力度,以密切期现价格关系。

The corn market in the post-temporary storage era can be summarized as market pricing and government regulation,firstly cutting inventory then achieving balance, integration internal external and offset import. In this big background, the correlation of corn future and spot price is low in the post-temporary times, the dynamic correlation of future and spot price is negative; the guidance relationship is mainly spot price one-way guided by future price, the integration of future and spot market is not high. At the same time,the mean of future and spot price both are not the spot price of delivery date, the mean of future and spot price are not the same; the deviation of future price is higher than the spot, the basis risk is also higher than future and spot price, however, the future and spot price are both close to the spot price of delivery date. so, to this end, the article propose to encourage participation of industrial customers,standardized the spot market and strengthen the supervision of futures market in order to close the relation of future and spot price.