【摘要】：近年來,我國小麥價格呈現(xiàn)出明顯的上升趨勢,這與小麥最低收購價政策的托市效應(yīng)有關(guān),存在不合理性。本文選取2007-2016年相關(guān)日頻數(shù)據(jù),基于期貨市場的價格發(fā)現(xiàn)功能建立VAR模型,并通過Johansen協(xié)整檢驗(yàn)以及格蘭杰因果檢驗(yàn),驗(yàn)證目前我國小麥期現(xiàn)貨市場價格之間存在長期協(xié)整關(guān)系,進(jìn)而提出含有期貨價格因子的政策價格定價模型。實(shí)證檢驗(yàn)結(jié)果表明,新模型可以降低價格波動率,更好地穩(wěn)定小麥價格,以推動我國小麥價格的市場化進(jìn)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.
【作者單位】： 上海大學(xué)經(jīng)濟(jì)學(xué)院;上海大學(xué)金融信息研究中心;
【分類號】：F323.7;F724.5
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本文編號：2185866