摘要
为了弄清目前我国粮食期货市场价格发现功能的有效情况,以上市年份较久、市场成交规模量占比较大的玉米和小麦市场为例,选取了2006年~2016年的月度相关数据,运用协整检验和VAR模型进行了实证分析。结果表明:粮食期货市场价格发现功能确实有所发挥,但发挥程度仍不充分,具体品种表现差异性较大。因此,应从完善期货市场交易品种与期货合约,培育市场参与主体,加快推广"保险+期货"创新模式等方面入手推动粮食期货市场的发展,不断提升其在调整农产品价格和促进农业发展中的作用。
In order to clear the effective situation of the price discovery function of China＇s grain future market, this pa- per takes corn and wheat market with longer listed period and larger deal scale, selects monthly data within 2006-2016, and uses co-integration test and VAR model to take empirical test. The results show that： the price discovery function of grain fu- ture market indeed plays a role but still not enough, and the specific variety has a large difference. Thus, we should start from improving the future market trade variety and future contract, cultivating market entity, accelerating to promote ＂insurance ＋ future＂ innovative model to push the development of grain future market, and continuously enhance the effect in adjusting a- gricultural price and agricultural development.
出处
《价格月刊》
北大核心
2017年第5期19-23,共5页
基金
国家社科基金项目资助"农产品价格波动与调控对策研究"(编号:11BJY097)
关键词
粮食期货市场
价格发现功能
协整检验
VAR
模
型
grain future market price discovery function co-integration test VAR model
