“保险+期货”:玉米现货市场价格感知机制研究

“Insurance + Futures”:Research on Price Perception Mechanism of Corn Spot Market

稳步扩大'保险+期货'试点,对于稳定农户收入、保证粮食安全、规避第一产业劳动力流失及对冲赔付风险都将产生积极意义。在探索试点推进过程中,玉米交易价格形成机制是个重要的科学问题。本研究以玉米期货价格数据,运用ADF平稳性检验、Johansen检验、Granger关系检验、正交脉冲分析等方法,从定性、定量两方面分析玉米现货市场的价格发现机制,对模型的稳定性及有效性进行验证,并进一步对其冲击敏感程度进行分析。结果显示,我国玉米期货市场对于现货市场有较强的单向引导关系,在此基础上可加速我国玉米期货市场的市场化进程并进一步完善信息传递效率,期货市场的感知机制将得到进一步提升。

In 2018,the No.1 document of the Central Government pointed out that the pilot program of'insurance+futures'should be steadily expanded.This pilot will have positive significance for stabilizing farmers’income,ensuring food security,avoiding the loss of labor in the primary industry,and risking hedging.However,in the process of exploring the pilot promotion process,the transaction price formation mechanism represented by corn is used.From the corn futures price data,using ADF stationarity test,Johansen test,Granger relationship test,orthogonal pulse analysis,etc.,qualitative and quantitative,this paper analyzes the price discovery mechanism of the corn spot market,verifies the stability and effectiveness of the model,and further analyzes its impact sensitivity.The results showed that China’s futures market has a strong one-way guiding relationship for the spot market.On this basis,it can accelerate the marketization process of China’s corn futures market and further improve the information transmission efficiency,and then the perception mechanism of the futures market will be further enhanced.