“保险+期货”目标价格形成的有效性分析——基于农产品期货价格发现功能实证研究

Effectiveness Analysis of“Insurance+Futures”Target Price Formation——based on the Empirical Test of Agricultural Futures Price Discovery Function

为探索“保险+期货”模式中目标价格难题,以大豆、玉米、粳米为例,运用Johansen检验、Granger关系检验、VECM-PT模型等方法,从定性、定量两方面分析了三者期货市场的价格发现功能,认为目前农产品期货市场具备良好的价格发现功能,但滞后性较强;不具备双向因果关系等问题。据此提出了对“保险+期货”模式进行分品种、渐进式的推广,完善期货市场信息传递机制,建立完备的现货市场体系等建议,助力“保险+期货”模式的推广。

To explore the target price problems in“insurance+futures”mode,this paper uses Johansen test,Granger causality test and VECM-PT to analyze the price discovery function of futures market qualitatively and quantitatively with soybean,corn and polished round-grained rice as samples,and comes to the conclusion that the current agricultural futures market has fine price discovery function but with stronger lags and without two-way causality.Based on the above,this paper puts forward the classified and evolutionary spread of“insurance+futures”mode,improving information transmission mechanism of futures market and establishment of mature currency market system to help to promote the“insurance+futures”mode.