我国农产品期货与现货价格波动关系实证研究——以郑州强麦期货和现货价格为例

The Empirical Study on the Relationship between Agricultural Products Futures and Spot Price Fluctuation in China——Taking Zhengzhou Qiangmai Futures and Spot Prices as Examples

自20世纪90年代我国农产品期货市场建立以来,农产品期货价格与现货价格存在着严重波动,为促进农产品期货市场的完善,弄清造成农产品价格波动的直接原因,了解目前我国农产品期货市场价格发现功能的有效情况,以郑州期货交易所的强麦为例,选取2016年1月至2017年11月的日度相关数据,运用协整检验、VAR模型、脉冲响应进行实证分析。结果表明:在一定程度上,有效发挥了郑州强麦期货市场价格的发现功能,但这种发挥是不充分的,程度仍是不够的。为了促进农产品期货市场的发展,就要从完善期货交易品种与期货合约、市场参与主体、加快推广"保险+期货"创新模式等方面着手。

Since the establishment of China’s agricultural futures market in the 1990s,agricultural product futures price and spot price have serious fluctuation.In order to promote the perfection of futures market of agricultural products,make clear the direct reason that causes fluctuation of agricultural product price,and the effective situation of price discovery function of agricultural product futures market in China at present;this paper takes Qiangmai of Zhengzhou futures exchange as an example,selects the data related to daily degree from January 2016 to November 2017,and makes an empirical analysis by using co-integration test,VAR model and impulse response.The results show that,to some extent,the discovery function of Zhengzhou Qiangmai futures market price is effectively played,but this play is not enough,the degree is still insufficient.Therefore,in order to promote the development of agricultural product futures market,it is necessary to improve the varieties of futures trading and futures contracts,and market participants,accelerate the promotion of“insurance+futures”innovation model and other aspects;so as to adjust the price of agricultural products and promote agricultural development.