最低收购价政策改革背景下小麦期货市场价格发现功能再检验

Re-examination of the discovery function of wheat futures market price under the reform of the minimum purchase price policy

通过构建最低收购价政策影响下小麦期现货市场的价格传导机制的理论框架,并选取2015年我国小麦最低收购价政策改革前后两个时期各4年的周度数据,使用ADF单位根检验、Johansen协整检验、Granger因果关系检验和方差分解对最低收购价政策改革背景下小麦期货市场的价格发现功能进行实证研究。研究结果表明:无论是强麦还是普麦,最低收购价政策改革对于小麦期货价格与现货价格均衡关系的形成均具有促进作用;在最低收购价政策改革之前,强麦期货市场不具有价格发现功能,之后这种功能才得以形成,同时普麦期货市场的价格发现功能变得更为显著;小麦期货市场的影响力强于现货市场,在价格发现功能中占据主导作用。

By constructing the theoretical framework of the price transmission mechanism of the wheat futures and spot market under the influence of the minimum purchase price policy,and selecting the weekly data of the four years before and after the reform of the minimum purchase price policy for wheat in 2015,this paper uses the ADF unit root test,Johansen cointegration test,Granger causality test and variance decomposition to conduct an empirical research on the price discovery function of wheat futures market under the reform of the minimum purchase price policy.The results show that:whether it is strong wheat or common wheat,the reform of the minimum purchase price policy can promote the equilibrium relationship between wheat futures prices and spot prices;the strong wheat futures market did not have the price discovery function until the reform of the minimum purchase price policy,and at the same time,the price discovery function of the common wheat futures market became more significant;the wheat futures market had a stronger influence than the spot market and played a leading role in the price discovery function.