粮食期货与现货价格动态关系实证研究——以郑州强麦期货和现货价格为例

我国粮食期货市场自建立以来，粮食的期货价格与现货价格都存在着较大的波动，而基于投机目的的期货市场是否是造成农产品价格波动的直接原因，是促进粮食期货市场完善的前提。使用单位根检验、协整检验、VAR模型、误差修正模型、格兰杰因果检验方法，对郑州商品交易所的强麦期货价格和现货价格进行了实证研究，论证了期货价格与现货价格之间存在长期动态均衡关系。期货价格具有引导现货价格的功能。

Empirical Research on the Dynamic Relationship between Grain Futures and Spot Price

There are fluctuations on the grain futures prices and spot prices since Chinese grain futures market has established. Is the future market based on the Speculation direct causes the fluctuations on grain spot price？ This is the premise for the development of the grain futures market. The dynamic relationship between strong wheat futures and spot price in Zhengzhou commodity exchange was examined by using cointe gration test, VAR model, error correction model, and Granger causality test. Then some conclusions were drawn that there existed long run dynamic equilibrium relationship between futures and spot price. The futures price has the function that guides the spot prices.