临时收储政策退出与农产品期货市场价格发现能力  

The Withdrawal of Temporary Reserve Policy and The Price Discovery Ability of Agricultural Futures Markets

作　　者：伍伶俐 鞠荣华[1,2] WU Ling-li;JU Rong-hua(College of Economics and Management,China Agricultural University,Beijing 100083,China;Center for Futures and Financial Derivatives Research,China Agricultural University,Beijing 100083,China)

机构地区：[1]中国农业大学经济管理学院,北京市100083 [2]中国农业大学中国期货与金融衍生品研究中心,北京市100083

出　　处：《中国流通经济》2023年第3期108-119,共12页China Business and Market

基　　金：国家社会科学基金项目“中国农产品期货套期保值效果评价及优化研究”(21BJY211)。

摘　　要：临时收储政策退出对我国农产品的价格形成机制产生了重要影响,期货市场作为农产品定价的重要场所,其价格发现能力也会受到影响。根据信息溢出理论,探讨临时收储政策退出对农产品期货市场价格发现能力的影响机制,借助收益率溢出指数模型测度农产品期货市场价格发现能力,并构建多元线性回归模型,对比分析临时收储政策退出对农产品期货市场主力合约和近月合约价格发现能力的影响。研究表明,临时收储政策退出前后,农产品期货市场主力合约和近月合约均具有价格发现能力;临时收储政策退出提高了农产品期货市场主力合约和近月合约的价格发现能力,但对两者的边际影响差距甚小;临时收储政策退出增强了受外盘影响小的农产品期货市场主力合约和近月合约的价格发现能力,削弱了受外盘影响大的农产品期货市场主力合约的价格发现能力;期货市场信息发现效率是临时收储政策退出影响农产品期货市场价格发现能力的主要路径。为提高我国农产品期货市场价格发现能力,建议在保障农产品生产安全自主的基础上,继续以农产品价格市场化改革为导向,优化农业资源配置;降低我国期货市场境外投资者的准入门槛,提升我国农产品期货市场的国际定价影响力;大力发展机构投资者,提高期货市场信息发现效率。The withdrawal of temporary reserve policy has an important effect on the price formation mechanism of agricultural spots markets.As an important place for the pricing of agricultural products,the price discovery ability of futures market will be affected undoubtedly.Based on the information spillover theory,the authors discuss the influence mechanism of the withdrawal of temporary reserve policy on the price discovery ability of agricultural futures market.The authors use the yield spillover index model to measure the price discovery ability of agricultural futures market,and build a multiple linear regression model to compare and analyze the impact of the withdrawal of temporary reserve policy on the price discovery ability of agricultural futures market.The authors also establish a multi-liner regression model to compare the impact of the withdrawal of temporary reserve policy on the price discovery ability of of the main and nearby contract in the agricultural futures market.The results shows that:before and after the withdrawal of temporary reserve policy,both the main and nearby contract of the agricultural futures market have the price discovery ability;the withdrawal of the temporary reserve policy improves the price discovery ability of the main and nearby contracts in the futures market of agricultural products,but the marginal effect difference between them is very small;the withdrawal of the temporary reserve policy improves the price discovery ability of the main contract and nearby contract in the agricultural futures market which are little affected by the external plate,and weakened the price discovery ability of the main contract in the agricultural futures market which are greatly affected by the external plate;and the information discovery efficiency in futures market is the main way that the withdrawal of the temporary reserve policy affects the price discovery ability of agricultural futures market.In order to improve the price discovery ability of agricultural futures market,it is suggested

关 键 词：临时收储政策 市场化改革 农产品期货市场 信息溢出 价格发现能力 

分 类 号：F830.93[经济管理—金融学]