我国粮食期货市场与现货市场价格传导关系的研究

摘要

Grain price transmission correlation between futures market and spot market was empirically analyzed.Taking soybean, maize and wheat as objects, Johansen Cointegration Test, Granger Causality Test, Impulse Response Function and Variance Decomposition Method were used to study the level of price discovery function of Chinese grain futures market and the influence of futures price on spot price.Results showed that there existed a long-term equilibrium relationship between futures price and spot price in grain market of China and displayed unidirectional inducting relationship in which futures price played a leading role Granger Cause spot price, the price transmission from spot price to futures price was blocked.The price transmission relationship is notable,of which soybean and wheat price transmission rate is 1-order lag, but maize is 3-order lag.The intrinsic power which promotes the price transmission form futures price to spot price is the plenty the price discovery function, and the standardization of futures price information and its effectively transfer to spot market by Internet.The information transfer from spot price market to futures market is restricted by unadvanced transactions, low informationizafion level and irregular market information standard.%为研究我国粮食期货市场价格发现功能发挥的程度以及时现货市场的影响,采用Johanse.协整检验、Granger因果检验、脉冲响应函数、方差分解等方法,以大豆、玉米、小麦为对象,对我国根食期货市场与现货市场价格的传导关系进行了实证分析.结果表明,我国根食期货价格与现货价格间存在长期均衡关系,它们之间表现出以期货价格向现货价格传导为主的单向传导关系,现货价格向期货价格的传递受到一定程度的阻滞.其中,大豆和小麦期货市场与现货市场的价格传导速率为1阶滞后,玉米为3阶滞后;我国粮食期货价格向现货价格传导的内在动力主要在于期货市场的价格发现功能得以充分实现,期货价格信息标准规范,并能够借用现代网络技术有效畅通地传递到现货市场中;而粮食现货市场因交易方式落后、信息化水平低下、市场信息标准不规范等因素,制约了现货市场信息向期货市场的传递.