摘要
期现货市场对现货价格的引导关系反映期货市场价格发现功能的发挥程度,现代农产品价格体系的建立不仅包括现货市场,还关系到农产品期货市场作用的发挥。本文结合与加拿大的参照对比,采用协整检验、格兰杰因果检验和方差分解方法分析我国菜籽油期现货价格和加拿大油菜籽期现货价格的关联性,得到结论如下:中加市场上期现货价格存在长期均衡关系,且期货价格单向引导现货价格;相比加拿大,中国现货市场价格变化来自期货市场的影响在长期比自身现货市场的大;中国现货市场受国际影响小。
The price discovery function of futures market is reflected by the guidance relationship between futures price and spot price. To build up a modern pricing system of agricultural products,it is necessary to include the spot market as well as the futures market. In this paper, the author analyzes the linkage of futures price and spot price in the rape oil market of China compared with that of Canadian market by using Cointegration Test,Granger Causality Test and Variance Decomposition analysis method. It comes to conclusions as follows： there is the long-run equilibrium relationship between futures price and spot price in both countries＇ market, and futures price leads spot price one-way. Compared to Canada, the influences from the futures market to the changes of China＇s spot price overweigh that from the spot market. The spot market of China is only slightly affected by the international changes.
出处
《华中农业大学学报（社会科学版）》
2009年第5期50-53,共4页
Journal of Huazhong Agricultural University(Social Sciences Edition)
关键词
菜籽油期货
期现货价格
价格引导
价格发现
rape oil futures
futures price and spot price
price guidance
price discovery
