我国生鲜类期货与现货价差的影响因素实证研究——以鸡蛋品种为例

Empirical Study on the Influencing Factors of the Difference between Fresh Food Futures and Cash Price in China——Taking Egg Varieties as an Example

生鲜类品种有着特殊的自然属性,其期现货价差也具有一定的特殊性。鸡蛋作为国内第一个上市的生鲜类期货品种虽然是可储存商品,但由于其特殊属性,在对鸡蛋期现价格关系的解释上传统的持仓成本理论并不适用。文章运用不可储存商品的期现价格关系相关理论,研究了鸡蛋期现货价差与饲养成本之间的关系。采用2015年1月1日—2019年12月31日五年内的周度数据,选取玉米价格、豆粕价格、淘汰鸡价格和蛋鸡苗价格作为影响鸡蛋期货基差的变量,建立了四组不同时间间隔的近远月基差模型进行多元线性回归分析。结果表明:相比于近月基差,远月基差更适用于模型的拟合;玉米作为饲料的主要成本,其价格上涨会导致鸡蛋基差上涨;豆粕饲料在饲料中的比重较低所以在期货价格中反映不充分;淘汰鸡价格上涨,养殖场增加购置鸡苗等投入会导致未来供给增加,基差下降;蛋鸡苗作为成本因素却与基差呈负相关,这源于鸡苗价格与鸡蛋现货价格的相关度高于期货价格。据此,文章对套期保值、点价交易、养殖企业、交易所等方面提出相关建议。

Fresh varieties have special natural attributes,and the price differences between futures and cash also have certain characteristics.As the first domestic marketed fresh futures variety,although eggs are storable commodities,due to its special properties,the traditional holding cost theory does not apply in the interpretation of the relationship between the futures and cash price of eggs.This article used the theories about the relationship between futures and cash prices of non-storable commodities to study the relationship between the price differences and the feeding cost of eggs.The study used weekly data from January 1,2015 to December 31,2019 for five years,and selects corn price,soybean meal price,eliminated chicken price and laying hen price as the variables that affect the basis of egg futures,and established four groups of near and far monthly basis models with different time intervals for multiple linear regression analysis.The results showed that:the far-month basis was more suitable for model fitting than the near-month basis;The price of corn as the main cost of feed would increase the basis of the egg;The proportion of soybean meal feed in the feed was lower,so it was not fully reflected in the futures price;The price of eliminated chickens would increase,and the increased purchase of chickens and other inputs from farms would lead to an increase in future supply and a decline in basis;as a cost factor,laying hens were negatively related to the basis.This was because the correlation between the price of laying hens and the cash price of eggs was higher than the futures price.Based on this,this article put forward relevant suggestions on hedging,point trading,breeding enterprises,exchanges,etc.