中国农产品期货市场与国际农产品期货市场的整合研究——以玉米、大豆、豆油和豆粕为例  

Research on the Integration of China’s Agricultural Product Futures Market and International Agricultural Product Futures Market:Take Corn,Soybeans,Soybean Oil and Soybean Meal as Examples

作　　者：林俐[1] 田谧 张俊峰 LIN Li;TIAN Mi;ZHANG Junfeng(The Party School of Sichuan Provincial Committee of the Communist Party of China/Sichuan Administration College,Chengdu 610071,China;Business School of Macao University of Science and Technology,Macao 999078,China;Shanghai Ventage Trading Co.,Ltd.,Shanghai 200041,China)

机构地区：[1]中共四川省委党校/四川行政学院,成都610071 [2]澳门科技大学商学院,中国澳门999078 [3]上海文塔姬贸易有限公司,上海200041

出　　处：《四川农业大学学报》2021年第5期697-704,共8页Journal of Sichuan Agricultural University

基　　金：澳门高等教育基金(HSS-MUST-2020-08)。

摘　　要：【目的】分析中国农产品期货市场在国际农产品期货市场中的价格影响及其供求变化情况,对于我们用好国内国际两个市场、两种资源意义重大。【方法】以一价原则为理论基础,考虑了农业补贴政策和市场间交易成本问题对传统线性协整的约束,结合使用结构突变协整和阈值协整(TVECM)对中国和国际农产品期货市场的整合问题进行研究。【结果】农业补贴政策对玉米和大豆的国内国际价格整合有结构上的冲击;交易成本在协整检验中有一定影响,因为玉米和大豆的国内国际价格之间都不存在传统的线性协整,但是他们的阈值协整显著;玉米和大豆价格的阈值协整都表明,价格偏离均衡关系后,向均衡调整的速度具有不对称性。【结论】统筹国际国内两个市场,并根据主要农产品国内国际价格的协整关系调整农业补贴政策。【Objective】To analyze the price impact of China’s agricultural product futures market in the international agricultural product futures market and its supply and demand changes is of great signifi-cance for us to make good use of both domestic and international markets and two resources.【Method】Based on the principle of one price,this paper considers the constraints of agricultural subsidy policies and inter-market transaction costs on traditional linear cointegration,and combines structural mutation cointegration and threshold cointegration(TVECM) on Chinese and international agricultural product futures. Research on market integration issues.【Result】Agricultural subsidy policies have a structural impact on the integration of domestic and international prices of corn and soybeans;transaction costs have a certain impact in the cointegration test,because there is no traditional linear cointegration between the domestic and international prices of corn and soybeans,but their threshold co-integration is significant;the threshold co-integration of corn and soybean prices both show that after prices deviate from the equilibrium relationship,the speed of adjustment to equilibrium is asymmetry.【Conclusion】Coordinate the domestic and international markets,and adjust the agricultural subsidy policy according to the co-integration relationship between the domestic and international prices of major agricultural products.

关 键 词：农产品价格 市场整合 结构突变协整 阈值协整 

分 类 号：F33[经济管理—产业经济] F37