我国油菜籽期货价格与现货价格关系研究——基于我国油菜籽临储政策取消前后对比  

Research on Correlation between Futures Price and Spot Price of Rapeseed of China——based on the Contrast bef ore/af ter China's Rapeseed Temporary Policy was Canceled

作　　者：杨雪[1] 刘成[1] 何玉成[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：《价格月刊》2017年第7期13-18,共6页

基　　金：自然科学基金项目"集中度对乳品供应链垂直协作影响的理论与实证研究";"集中度效应分离及其在农产品加工产业组织绩效评估中的应用研究"(编号:71573098;71173085);国家"现代农业产业技术体系建设"专项(编号:CARS-0013)

摘　　要：基于2013年~2016年我国油菜籽期货价格与现货价格每日数据,运用ADF检验、协整检验、Granger因果关系检验、脉冲响应函数及方差分解等方法,分析了我国油菜籽临储政策取消前后油菜籽期货价格与现货价格关系的变化情况。研究发现:油菜籽临储政策取消前,我国油菜籽期货价格与现货价格之间不存在相互引导关系;临储政策取消后,我国油菜籽期货价格与现货价格之间存在长期的均衡关系,油菜籽期货价格单向引导油菜籽现货价格,我国油菜籽期货市场逐渐发挥其价格发现功能。最后,为促进我国油菜籽市场更好地发展提出了相关对策建议。Based on daily data of spot price and futures price of China＇s rapeseed within 2013-2016, this paper uses ADF test, co-integration test, Granger causality, pulse response function and variance decomposition to analyzes the variation of the futures price and spot price of China＇s rapeseed before and after the temporary reserve policy was canceled. The results indi- cate that： before the temporary reserve policy was canceled, there does not exist mutual guidance relationship between future price and spot price; after the temporary reserve policy was canceled, there is a long run balance relationship between future price and spot price, future price of rapeseed single-directed guide the spot price, and the future market gradually gives play the price discovery function. At last, this paper puts forward relevant countermeasure to improve China＇s rapeseed market.

关 键 词：油菜籽 期货价格 现货价格 国家油菜籽临储政策 

分 类 号：F726[经济管理—产业经济]