期货市场对白糖产业影响的实证研究

发布时间：2018-04-02 16:02

本文选题：期货价格　切入点：现货价格　出处：《河南大学》2014年硕士论文

【摘要】：白糖作为我国重要的经济作物之一，既是居民日常生活的重要必需品，又是饮料、食品、制药等工业经济中不可或缺的重要原料。因此，，白糖市场的稳定发展既关系到百姓民生问题，也直接影响着国民经济相关产业的健康运行。然而，由于白糖“宿根”造成的生产特殊性极易导致供需失衡从而产生价格剧烈波动，给白糖的生产加工企业、流通企业、下游消费企业及居民百姓带来了诸多不利影响。特别是近年来，中国期货市场的发展，虽然比较快，但与国际期货市场相比，由于起步较晚，发展还很不完善。因此，增强和完善期货市场信息的透明度，避免过度投机和泡沫成分成为了完善我国白糖期货市场、促进实体产业优化升级的必然趋势。通过分析白糖市场行情及未来走势，寻找白糖价格波动规律和周期性变化特征，同时利用国内外期货市场的价格发现和套期保值两大功能，促进我国白糖产业健康发展和优化升级，从而化解白糖价格剧烈波动风险，是本文研究的重要目的。本文逻辑是首先通过对白糖进行简洁概述，深入、细致分析世界白糖供需状况及巴西、印度、泰国等国际白糖主产国的生产、消费、进出口、储备、政策变动，接着对我国白糖的生产供需基本情况进行详细分析，由此总结出影响白糖价格的主要因素。在此基础上开始对白糖价格变动的本质规律进行探索：通过对国内外期货市场进行介绍，对期现货价格关联性的内在理论进行阐述，着重分析我国白糖基差变动、月间价差、季节性变动等规律，同时对未来价格进行展望分析。（1）lngjxh、lnlzxh、lnmtqh、lnztqh存在协整关系，即它们之间存在长期稳定的均衡关系。（2）通过因果关系检验表明，白糖期货市场价格传导机制的传导速度快于现货市场白糖价格传导速度。其中国内白糖现货价格主要受郑糖期货价格和国际白糖期货价格影响。而国际白糖现货价格对国内白糖现货价格的影响则相对较慢。（3）通过误差修正模型还发现，国际白糖现货价格走高反倒引起国内白糖价格走低的结论不符合事实。究其原因，一方面因为我国白糖现货市场与国际白糖市场并未完全接轨，比如我国白糖实行配额内进口和配额外进口，同时白糖走私现象也比较严重，导致我国白糖现货价格与国际白糖现货价格关系同事实和基本逻辑不符。另一方面原因则可能是模型有待进一步深入和修正。最后本文综合国内外白糖市场格局、我国白糖产业现状、我国白糖的价格规律，给出涉糖企业如何利用期货市场促进白糖产业优化升级、稳定发展的若干建议：（1）白糖生产、加工及贸易企业利用期货市场指导生产经营。对蔗农和上游生产企业而言，通过分析远期合约价格走势、远期合约月间价差水平、期现基差水平，合理预估未来白糖现货价格走势，从而实现利润最大化的目的。（2）白糖产业利用期货市场完成现货销售采购模式的创新。由于白糖期货市场具有实物交割平仓机制，因此期现货价格及货物具有统一性。利用期货市场的实物交割平仓机制，涉糖企业可以实现现货采购和销售模式的创新。例如在基差水平为负且基差水平绝对值大于买断费用时，上游企业可以通过在郑州商品交易市场注册标准仓单，同时在期货市场上卖出保值的方式销售白糖现货，从而达到利润最大化的目的。在基差水平处于正常波动范围，达不到买断的时机时，中间贸易商可以通过在期货盘面利用点价的模式，同时锁定上游白糖现货采购价格和下游白糖销售价格，从而实现利润提前锁定的目的。（3）期货市场具有套期保值功能，涉糖企业如何利用期货市场化解价格波动风险是企业和产业稳步发展的关键之一。如在白糖牛市周期或者白糖榨季末期，白糖现货供应趋紧，价格上行压力较大，白糖下游消费企业通过在期货盘面买入保值，从而防范价格上行风险。（4）涉糖企业利用期货市场还可实现贸易融资。涉糖企业在资金紧张时，通过将符合白糖交割品级的白糖现货拉至指定交割仓库，将白糖现货注册成标准仓单。同时将白糖的标准仓单质押至银行、投资公司、贸易公司等，可获得相应的资金现款，从而实现融资的需求。待资金宽松时再赎回现货，从而使得企业多了一条解决资金燃眉之急的重要方法。
[Abstract]:As one of the important economic crops in our country , white sugar is an important and important raw material for the daily life of the inhabitants . Therefore , the development of the white sugar market is not only related to the people ' s livelihood , but also affects the healthy operation of the relevant industries of the national economy .

In this paper , the production , consumption , import and export , reserve and policy change of the world white sugar producing countries such as Brazil , India , Thailand and so on are analyzed in detail through the concise summary of white sugar , then the basic information of production and supply of white sugar in China is analyzed in detail , and the main factors that affect the price of white sugar are summarized .

On the basis of this , the essence of the price change of white sugar is explored : through the introduction of the futures market at home and abroad , the internal theory of the correlation of the current stock price is explained , and the regularity of the fluctuation of the white sugar base difference , the monthly price difference and the seasonal fluctuation are emphatically analyzed , and meanwhile , the future price is analyzed .

( 1 ) There is a cointegration relationship between lngjxh , lnlzxh , lnmtqh , lnztqh , that is , there is a long - term stable equilibrium relationship .

( 2 ) Through the causality test , the conduction velocity of the price conduction mechanism of the white sugar futures market is faster than the price conduction velocity of the white sugar in the spot market . The spot price of domestic white sugar is mainly influenced by the futures price of Zhengzhou sugar and the international white sugar futures price , and the effect of the spot price of international white sugar on the spot price of domestic white sugar is relatively slow .

( 3 ) The conclusion that the price of white sugar in China is low is not in accord with the fact through the error correction model . The reason is that , on the one hand , China white sugar spot market and the international white sugar market are not completely connected , such as the import and export of white sugar in China , and the phenomenon of white sugar smuggling is serious , which leads to the fact that the current price of white sugar in China is inconsistent with the fact and the basic logic . On the other hand , it may be that the model is to be further deepened and corrected .

At last , the present situation of white sugar industry at home and abroad , the present situation of sugar industry in China and the price rule of white sugar in China are discussed . Some suggestions on how to use futures market to promote the optimization and upgrading of white sugar industry and stabilize development are given .

( 1 ) The production , processing and trading enterprises of white sugar use the futures market to guide the production and operation . For the sugarcane and upstream production enterprises , by analyzing the forward contract price trend , the forward contract price difference level , the current base difference level , the future white sugar spot price trend is reasonably estimated , so as to realize the aim of maximizing profit .

( 2 ) The white sugar industry uses the futures market to complete the innovation of the spot sales procurement mode . As the white sugar futures market has the real - kind delivery flat - bin mechanism , the spot price and the goods have the unity . By using the real - kind delivery of the futures market , the sugar - related enterprises can realize the innovation of the spot purchase and sale mode .

For example , when the base difference level is negative and the absolute value of the base difference level is larger than the purchase cost , the upstream enterprise can sell the white sugar spot goods by selling the standard warehouse receipts in the Zhengzhou commodity trading market , and meanwhile , selling the white sugar spot goods in the futures market so as to achieve the aim of maximizing the profit .

When the base difference level is in the normal fluctuation range and cannot reach the buying time , the intermediate trader can realize the purpose of early locking of the profit by using the mode of the spot price on the futures coil , and simultaneously locking the spot purchase price and the downstream sugar selling price of the upstream white sugar .

( 3 ) The futures market has hedging function , how to use the futures market to resolve price fluctuation risk is the key to the steady development of enterprises and industry .

For example , in the period of white sugar cattle market or the end of the white sugar squeezing season , the supply of white sugar becomes tight , the price is higher , and the downstream consumer enterprise of white sugar can prevent the price upward risk by buying and maintaining the futures coil .

( 4 ) The sugar enterprises can also realize the trade financing through the futures market . In the case of the shortage of funds , sugar enterprises are registered as standard warehouse receipts by pulling the white sugar present goods according to the white sugar delivery grade to the designated delivery warehouse . Meanwhile , the standard warehouse of the white sugar is pledged to the bank , the investment company , the trading company , and the like , so as to realize the financing requirement . When the fund is loose , the cash is redeemed , so that the enterprise has more and more important methods to solve the problem .

【学位授予单位】：河南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F724.5;F426.82;F224

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