农产品期货市场国际价格发现效率及其影响因素研究  

Research on international price discovery efficiency and its influencing factors in agricultural futures market

作　　者：陈标金[1] 曾维维 CHEN Biao-jin;ZENG Wei-wei(College of Economics and Management,South China Agricultural University,Guangzhou,Guangdong 510642)

机构地区：[1]华南农业大学经济管理学院,广东广州510642

出　　处：《价格月刊》2025年第2期9-18,共10页

基　　金：广东省哲学社会科学规划项目“提升我国农产品期货市场国际定价权的对策研究”(编号:GD24CYJ34)。

摘　　要：运用VECM模型和共因子模型,对2010—2022年7种农产品期货价格序列进行实证研究发现:中国不同品种农产品期货市场国际价格发现效率差异较大,中外玉米、棉花期货价格不协整,小麦、棕榈油、白糖、豆二、天然橡胶期货市场国际价格发现效率贡献度分别为1.68%、33.05%、39.28%、52.36%、83.63%,与中国相应品种贸易地位和金融实力相符;农产品期货市场国际价格发现效率是时变的,进出口规模、出口规模对农产品期货市场国际价格发现效率有显著正向影响,货币国际结算占比也有正向影响但不显著,供求力量是影响农产品期货市场国际价格发现效率的核心因素。建议采取分散农产品进口来源、推进人民币国际化、完善农产品市场信息披露机制、引导交易者关注中国农产品期货市场价格等策略,不断提升中国农产品期货市场国际价格发现效率。This paper uses VECM model and co-factor model to conduct empirical research on the futures price se⁃ries of seven agricultural products from 2010 to 2022,and finds that the efficiency of international price discovery in the futures markets of different varieties of agricultural products in China is quite different.The price of corn and cotton futures is not coordinated between China and foreign countries,and the contribution of international price discovery efficiency in the futures markets of wheat,palm oil,sugar,soybean II,and natural rubber is 1.68%,33.05%,39.28%,52.36%and 83.63%,respectively,which is consistent with the trade status and financial strength of corresponding varieties in China;The international price discovery efficiency in agricultural futures markets is time-varying,and the scale of import and export has a significant positive impact on the international price discovery efficiency of agricultural futures market,and the proportion of international currency settlement al⁃so has a positive impact which is not significant.The force of supply and demand is the core factor affecting the in⁃ternational price discovery efficiency of agricultural futures market.It is suggested to diversify the import sources of agricultural products,promote the internationalization of RMB,improve the information disclosure mechanism of agricultural products market to guide traders to pay attention to the prices of China’s agricultural products futures market,and constantly improve the international price discovery efficiency in China’s agricultural products futures market.

关 键 词：农产品 期货市场 国际价格发现效率 

分 类 号：F726[经济管理—产业经济]