价格支持政策对农产品期现货市场关联的影响研究

通过构建VAR-BEKK-MVGARCH-DUMMY-T模型,以棉花期现货市场为例,从市场间溢出效应和动态关联两个方面研究了价格支持政策对农产品期现货市场关联的影响。结果表明:不同价格支持政策对棉花期现货市场关联存在明显的差异化影响,具体来看,临时收储政策的实施显著降低了棉花期现货市场间相关程度,而目标价格政策实施后两市场间相关程度又逐渐回升;临时收储政策和目标价格政策均降低了棉花期货市场价格对棉花现货市场价格引导作用,同样降低了两市场间价格波动传递效应;目标价格政策对棉花期现货市场间价格引导及波动传递的影响均小于临时收储政策;临时收储政策降低了棉花期现货市场间价格波动关联程度,而目标价格政策则提升了两市场间价格波动关联程度。因此,农产品价格支持政策的改革和完善应坚持市场化方向,并充分发挥农产品期货市场功能。

Research on the Influence of Price Support Policy on the Relationship Between Futures Market and Spot Market of Agricultural Products

This paper studies the differential effects of agricultural price support policies on cotton futures market and spot market correlation from two aspects of spillover effect and dynamic correlation through VAR-BEKK-MVGARCH-DUMMY-T model. The results show that different price support policies have different effects on the relationship between cotton futures market and spot market. The implementation of the temporary purchase and storage policy significantly reduced the correlation degree between the cotton futures market and spot market,but the correlation between the two markets increased gradually after the implementation of the target price policy. The policy of temporary purchase and storage and target price policy have weakened the price guiding role of cotton futures market to the spot market,and reduced the transmission of price volatility between the two markets. The effect of target price policy on price guidance and volatility transmission between the cotton futures market and spot market was less than that of temporary purchase and storage policy. The policy of temporary purchase and storage reduced the correlation degree of fluctuations between the cotton futures market and spot market,but the target price policy improved the correlation degree of fluctuations between the cotton futures market and spot market. Therefore,the reform and improvement of agricultural price support policy should adhere to the direction of marketization and give full play to the function of futures market of agricultural products.