企业利用玉米期现价格联动规避风险的效应分析

THE EFFECTIVENESS ANALYSIS OF PROCESSING COMPANIES LEVERAGING CO-MOVEMEMNT OF CORN FUTURES PRICE AND SPOT PRICE TO CONTROL RISKS

关键词:  加工企业  玉米  价格风险  期现联动  效应分析

Key words:  processing company  corn  price risk  engagement in both futures and spot markets  effectiveness analysis

摘要:

目的 玉米产业的市场化变革，加大了加工企业价格管控难度，增强企业期现结合转变经营模式的迫切性。期现价格关联的效应性如何，表现为期现价格之间的稳定性、相关性和联动性趋势，对企业实现期现融合经营的效果至关重要。方法 文章利用ECM模型，选取2017年1月1日至2020年6月1日玉米期现价格日度数据，实证分析市场化条件下玉米期现价格之间的趋势性、波动性和相关性，重点关注期现价格之间的短期波动影响和偏离长期均衡关系后的回归问题。结果 市场化时代，玉米期现价格走势均呈现“V”型趋势；随着市场化水平的提高，期现价格之间呈现出显著的相关性和联动性，但相关性呈现明显的“非均衡性”。玉米现货价格向期货价格的传递率明显高于期货价格向现货价格的传递率，分别为19.4%和11.5%；对于偏离长期均衡关系后的回调，现货价格回调率也明显高于期货价格，分别为3.08%和0.06%，且在5%的置信度下期货价格的回调率不具有显著性。结论 无论短期波动还是长期回调，玉米期现价格之间均存在较强的联动性，加工企业可以利用期货价格发现功能管理现货价格经营风险。但这种联动性是非均衡的，有待于进一步加强，建议进一步优化期货交割机制和期现定价机制，加强企业经营管理模式转变，坚持期现融合发展，不断提高抗风险能力。

Abstract:

The market-oriented transformation of the corn industry has made it more challenging for processing companies to manage price risks, thus highlighting the urgency to engage in both the futures and spot markets as part of their operation. The effectiveness of this approach is reflected in the stability, correlation and co-movement of corn futures price and spot price, and it plays a critical role in enhancing operating results. Using the ECM model, this thesis collected daily corn futures price and spot price from January 1, 2017 to June 1, 2020 to analyze the trend, volatility and correlation between the two. Specifically, the focuses were on the impact of short-term price fluctuation and price reversal after deviation from the long-term equilibrium. Both corn futures price and spot price had shown a “V” trend. As the corn industry became more market oriented, there was significant correlation and co-movement between futures price and spot price, although correlation showed clear “non-equilibrium”. The pass through rate from corn spot price to futures price was much higher than the other way round, at 19.4% and 11.5% respectively. The reversal rate of spot price following deviation from the long-term equilibrium was 3.08%, which was also significantly higher than that of the futures price at 0.06%. In addition, at a confidence level of 5%, the reversal rate of futures price was insignificant. Whether it is with short-term fluctuation or long-term reversal, there is strong co-movement between corn futures price and spot price. Processing companies are therefore encouraged to manage operating risks stemming from corn spot price fluctuation by utilizing futures price discovery. However, the co-movement is not unbalanced, and needs to be further enhanced. It is suggested that the futures delivery mechanism and futures/spot pricing mechanism be further strengthened. Meanwhile, processing companies should adjust their operation models to increase engagement in both the futures and spots market in order to improve overall risk management capabilities.