基于动态视角下的生猪期货市场价格发现功能变动情况研究

Research on the Change of Price Discovery Function in Live Pig Futures Market Based on Dynamic Perspective

生猪期货市场价格发现有效发挥对于产业链上信息传递以及风险规避具有重要作用。为探究生猪期货价格发现的动态变化情况,基于2021年1月—2023年5月我国生猪期现货价格数据,通过Granger因果检验、时变脉冲响应、信息份额模型等对不同阶段生猪期现货价格发现作用关系和冲击情况进行测算分析。结果表明:生猪期货单向价格发现作用显著,不同阶段下生猪期现货之间存在长期的均衡关系且具有差异性;生猪期现货之间动态冲击特征明显且作用方向相反;生猪期货在价格发现贡献度中占据主导地位。据此,建议疏通生猪期现货市场价格传导机制,充分发挥信息传递作用;关注价格变动对市场情绪的影响,注重政策对生猪市场的“逆周期”调控;进一步完善生猪期货市场规章制度,促进生猪产业规范化生产以及高质量发展。

The effective use of price discovery in the live pig futures market plays an important role in information transmission and risk avoidance in the industrial chain.In order to explore the dynamic change of live pig futures price discovery,based on China s live pig spot price data from January 2021 to May 2023,Granger causality test,time-varying impulse response and information share model are used to measure and analyze the relationship and impact of spot price discovery in different stages of live pig.The results show that the one-way price discovery effect of live pig futures is significant,and there is a long-term equilibrium relationship and difference between the spot of live pigs at different stages.The dynamic impact between the spot of live pigs is obvious and the direction of action is opposite.Pig futures dominate the contribution of price discovery.Therefore,it is suggested to dredge the price transmission mechanism of live pig spot market and give full play to the role of information transmission;pay attention to the impact of price changes on market sentiment,and pay attention to the“counter-cyclical”regulation of the live pig market by policies;further improve the rules and regulations of the live pig futures market,and promote standardized production and high-quality development of the live pig industry.