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为了弄清目前我国粮食期货市场价格发现功能的有效情况,以上市年份较久、市场成交规模量占比较大的玉米和小麦市场为例,选取了2006年~2016年的月度相关数据,运用协整检验和VAR模型进行了实证分析。结果表明:粮食期货市场价格发现功能确实有所发挥,但发挥程度仍不充分,具体品种表现差异性较大。因此,应从完善期货市场交易品种与期货合约,培育市场参与主体,加快推广“保险+期货”创新模式等方面入手推动粮食期货市场的发展,不断提升其在调整农产品价格和促进农业发展中的作用。
In order to find out the effective situation of the price discovery function of China’s grain futures market at present, taking the corn and wheat markets with relatively large scale of market turnover and relatively large scale of market turnover as an example, the monthly relevant data from 2006 to 2016 are selected, The whole inspection and VAR model are analyzed empirically. The result shows that the function of price discovery in the grain futures market has indeed been exerted, but the degree of its exertion is still insufficient, and the performance of the specific varieties is quite different. Therefore, the development of the grain futures market should be promoted in the aspects of improving the varieties and futures contracts traded in the futures market, fostering the participants in the market, and accelerating the promotion of “insurance + futures” innovation mode, and continuously improving their ability to adjust agricultural product prices and promote agricultural development Role.