我国小麦期货价格对现货市场价格的影响——基于修正小麦政策价格模型的实证研究
发布时间：2018-08-16 11:36
【摘要】：近年来,我国小麦价格呈现出明显的上升趋势,这与小麦最低收购价政策的托市效应有关,存在不合理性。本文选取2007-2016年相关日频数据,基于期货市场的价格发现功能建立VAR模型,并通过Johansen协整检验以及格兰杰因果检验,验证目前我国小麦期现货市场价格之间存在长期协整关系,进而提出含有期货价格因子的政策价格定价模型。实证检验结果表明,新模型可以降低价格波动率,更好地稳定小麦价格,以推动我国小麦价格的市场化进程。
[Abstract]:In recent years, the price of wheat in China has shown an obvious upward trend, which is related to the market support effect of the minimum purchase price policy of wheat, which is not reasonable. This paper selects the relevant daily frequency data from 2007-2016, establishes the VAR model based on the price discovery function of the futures market, and through the Johansen cointegration test and Granger causality test, verifies that there is a long-term cointegration relationship between the current spot market prices of wheat in China. Then a policy price pricing model with futures price factor is proposed. The empirical results show that the new model can reduce the price volatility and stabilize the wheat price better, so as to promote the marketization of wheat prices in China.
【作者单位】： 上海大学经济学院;上海大学金融信息研究中心;
【分类号】：F323.7;F724.5
，
本文编号：2185866
[Abstract]:In recent years, the price of wheat in China has shown an obvious upward trend, which is related to the market support effect of the minimum purchase price policy of wheat, which is not reasonable. This paper selects the relevant daily frequency data from 2007-2016, establishes the VAR model based on the price discovery function of the futures market, and through the Johansen cointegration test and Granger causality test, verifies that there is a long-term cointegration relationship between the current spot market prices of wheat in China. Then a policy price pricing model with futures price factor is proposed. The empirical results show that the new model can reduce the price volatility and stabilize the wheat price better, so as to promote the marketization of wheat prices in China.
【作者单位】： 上海大学经济学院;上海大学金融信息研究中心;
【分类号】：F323.7;F724.5
，
本文编号：2185866
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