我国小麦期货价格对现货市场价格的影响——基于修正小麦政策价格模型的实证研究  

The influence of wheat future price on the spot market price in our country——based on the empirical research on a fixed wheat price policy model

作　　者：倪中新[1] 陈思祺 

机构地区：[1]上海大学经济学院 [2]上海大学金融信息研究中心

出　　处：《价格理论与实践》2017年第5期101-104,共4页Price:Theory & Practice

摘　　要：近年来,我国小麦价格呈现出明显的上升趋势,这与小麦最低收购价政策的托市效应有关,存在不合理性。本文选取2007-2016年相关日频数据,基于期货市场的价格发现功能建立VAR模型,并通过Johansen协整检验以及格兰杰因果检验,验证目前我国小麦期现货市场价格之间存在长期协整关系,进而提出含有期货价格因子的政策价格定价模型。实证检验结果表明,新模型可以降低价格波动率,更好地稳定小麦价格,以推动我国小麦价格的市场化进程。Recently the price of Chinese wheat shows an obviously rising trend. This is associated with the wheat minimum purchase price policy, which has unreasonable supporting effects. In this paper, we build the VAR model based on the price discovery of the futures market, use the Johansen cointegration test and Granger causality test to verify the long-term co-integration relationship between the futures and spot market by the latest data. Furthermore, we propose the policy pricing model with the futures price factors. The empirical results show that the new model can reduce price volatility to keep price stable and promote the marketization process of the Chinese wheat .

关 键 词：粮食最低收购价 小麦期货价格 小麦现货价格 国际小麦价格 

分 类 号：F323.7[经济管理—产业经济]