中加油菜籽期货与现货价格动态关系研究  

Dynamic relationship between Chinese and Canadian rapeseed future prices and spot prices

作　　者：吴琪[1] 蔡勋[1] 冯中朝[1] 

机构地区：[1]华中农业大学经济管理学院,湖北武汉430070

出　　处：《浙江农业学报》2016年第10期1796-1802,共7页Acta Agriculturae Zhejiangensis

基　　金：国家油菜产业技术体系专项(CARS-13);中国工程院重大咨询项目(4005-35013018;4005-35013019)

摘　　要：基于2013年1月至2015年12月中国、加拿大两国油菜籽期货与现货价格月度数据,运用有向无环图(DAG)技术与结构向量自回归(SVAR)模型,系统分析了中加两国油菜籽期货、现货价格之间的动态关系。研究结果表明,加拿大油菜籽期货市场对现货市场具有较强的价格发现功能,而中国油菜籽期货市场对现货市场的价格发现功能相对较弱。中国油菜籽市场在一定程度上参与了国际油菜籽市场的定价,但参与程度仍有待提高。Based on the monthly data of Chinese and Canadian rapeseed future prices and spot prices form January2013 to December 2015,directed acyclic graph and SVAR model were adopted to analyze the dynamic relationship between Chinese and Canadian rapeseed future prices and spot prices. It was shown that Canadian rapeseed futures market played a relatively strong price discovery function on its rapeseed spot market,while Chinese rapeseed futures market played a relatively weak price discovery function on its rapeseed spot market. Although Chinese rapeseed market took part in international rapeseed pricing to a certain degree,it still needed to be improved.

关 键 词：油菜籽 期货价格 现货价格 DAG SVAR模型 

分 类 号：S-9[农业科学] F830.9[经济管理—金融学]