临时收储政策退出对玉米期货和现货价格发现功能的影响

借助改进的蛛网模型,分析了临时收储政策退出对我国玉米期货和现货市场价格发现功能的影响机理;并综合运用滚动协整、VECM、BEKK-GARCH与IS模型,系统探究了2009—2019年我国临储政策及其改革对玉米期货和现货市场价格发现功能的影响。研究发现:1)我国玉米期货和现货价格存在相互引导关系。2)BEKKGARCH模型表明,我国玉米现货价格和期货价格之间存在单向波动溢出效应,临储政策的退出使期货和现货价格的关系更为密切。3)IS模型进一步揭示,临储政策削弱了我国玉米期货价格发现功能;不过随着政策退出,玉米期货市场已在价格发现过程中重获主导地位。4)从区域视角来看,临储政策退出后,全国各地区的玉米期货市场价格发现功能获得了不同程度的改善;作为政策主要实施地域,东北的玉米期货价格发现功能所获改善尤为显著。玉米临储政策市场化改革成效初显,可为后续稻谷、小麦最低收购价政策调整提供有力经验借鉴。

Effect of temporary purchase and storage policy exit on the price discovery function in maize futures and spot markets

Based on the improved cobweb model, this study analyzed the mechanism of the effect of the temporary purchase and storage policy exit on the price discovery function in China''s maize futures and spot markets. The rolling cointegration, VECM, BEKK-GARCH and IS models were used to explore the specific effect of this policy and it''s reform on the price discovery function in China''s maize futures and spot markets during 2009 to 2019. The results showed that: 1)There was a mutual guiding relationship between China''s maize futures and spot market prices. 2)The BEKK-GARCH model displayed that there was a one-way volatility spillover effect between maize spot price and futures price in China, the exit temporary purchase and storage policy made the relationship between futures and spot prices becoming closer. 3)The IS model further revealed that the temporary purchase and storage policy weakened the price discovery function in China''s maize futures. With the exit of policies, China''s maize futures market regained its dominant position in the price discovery process. 4)From a regional perspective, after the withdrawal of the temporary purchase and storage policy, the price discovery function of the maize futures market in various regions of China was improved to varying degrees, as the main implementation area of the policy, the northeast maize futures price discovery function has been improved significantly. The market-oriented reform of China''s maize temporary purchase and storage policy achieved remarkable results, which provided experience for the follow-up reform of the minimum purchase price policy of rice and wheat.