玉米临时收储政策与玉米期货市场价格发现功能实证研究  

Empirical Study on the Price Discovery Function of Maize Futures Market from the Perspective of Maize Temporary Storage Policy

作　　者：殷婷婷 YIN Ting-ting(Liaoning University of International Business and Economic,Research Center of Regional Economic Development,Liaoning Dalian 116052,Liaoning Province,China)

机构地区：[1]辽宁对外经贸学院国际商品交易分析与模拟重点实验室,辽宁大连116052

出　　处：《沈阳农业大学学报（社会科学版）》2022年第2期147-154,共8页Journal of Shenyang Agricultural University(Social Sciences Edition)

基　　金：辽宁省教育厅科学研究经费项目“中韩新基建投资合作契机下辽宁产业结构转型升级研究”(LJKR0671);辽宁对外经贸学院一般科研项目“基于马尔科夫模型的玉米期货价格波动与收益分析”(2021XJLXYB03)

摘　　要：期货市场在市场经济活动中对稳定市场价格、合理配置资金等具有不可替代的作用。玉米作为重要的农产品,是国家经济和国民生活的重要支撑,出于国计民生的考虑,国家对玉米价格波动进行政策干预,其中玉米临时收储政策对玉米价格影响显著。从玉米临时收储政策视角,以玉米期现货价格数据为基础建立VECM模型,通过平稳性检验、Johansen协整检验、Granger关系检验、脉冲响应分析和方差分解方法进行实证研究发现,在价格发现功能的发挥中起到主导作用的是期货市场,并单向引导现货市场价格波动,随着非市场因素干扰的消除,现货市场在价格发现功能发挥中贡献度有所提升,根据实证研究结果与分析,提出通过推动资产定价市场化、加强期现货市场关联性、提高商品定价国际话语权、鼓励机构投资降低投机性等策略促进期货市场价格发现功能有效发挥。The futures market plays an irreplaceable role in stabilizing market prices and allocating funds reasonably in market economic activities.Maize,an important agricultural product,is an important support for national economy and national life,and to a certain extent determines our country’s voice in the international grain and oil market.Temporary storage policy has a significant effect on maize price.Based on the maize futures and spot price data,an empirical study was conducted with the VECM model,stationarity test,Johansen cointegration test,Granger relationship test,impulse response analysis and variance decomposition.The results showed that the futures market plays a leading role in the price discovery function,and one-way guides the price fluctuation of the spot market.With the elimination of the interference of non-market factors,the contribution of the spot market in the performance of price discovery function will be improved.Consequently,it is proposed to promote the asset pricing marketization,strengthen the relevance between futures and spot market,improve our country’s voice in the commodity pricing,and encourage institutional investment to reduce speculation,for the effective exertion of price discovery function in China’s futures market.

关 键 词：玉米 期货市场 现货市场 价格发现功能 

分 类 号：F724.5[经济管理—产业经济] F323.7