价格支持、政策调整及粮食市场波动

PRICE SUPPORT, POLICY ADJUSTMENT AND MARKET FLUCTUTION OF GRAIN

关键词:  价格支持政策  政策调整  期现货市场  价格波动  GARCH模型

Key words:  price support policy  policy adjustment  futures and spot market  price volatility  GARCH model

摘要:

目的 为了估计价格支持政策对不同粮食品种期现货价格波动的直接影响，实证分析和比较了政策及其调整对粮食期现货价格波动实施效果的影响，为深化粮食价格形成机制改革提供一定的理论参考和实证支撑。方法 文章利用稻谷、小麦、玉米和大豆的现货与期货价格日数据，将政策以虚拟变量的形式引入GARCH模型实证分析最低收购价政策、临时收储政策及其调整对平抑粮食期现货市场波动的作用。结果 价格支持政策对粮食价格波动产生了显著影响，最低收购价政策能够明显降低稻谷和小麦现货市场的波动程度，但对期货市场波动的作用则相反；玉米和大豆临时收储政策的取消导致现货市场波动性提高，而对期货市场波动的影响存在差异。结论 价格支持政策具有降低价格波动的作用效果，政策调控效果与实施品种的国内供求及市场形势、国内外市场的联系程度密切相关，政策的完善还需关注对期货市场波动的影响。

Abstract:

To evaluate the direct influence of the price support policy on the fluctuation of futures and spot prices of different grain varieties in China, this paper empirically analyzed and compared the implementation effect of the price support policy and its adjustment on the fluctuation of grain futures and spot prices, so as to provide certain theoretical reference and empirical support for deepening the reform of grain price formation mechanism and improving the price support policy. Based on the spot and futures prices data of rice, wheat, corn and soybean, and with the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model including the minimum purchase price policy of rice and wheat, and the temporary purchase and storage policy of corn and soybean as dummy variable, this paper made an empirical analysis of the price-stabilizing effects of the minimum purchase price policy, temporary purchase and storage policy and its adjustment on the spot and futures markets of grain. The results showed that the price support policies, including the minimum purchase price policy of rice and wheat, and the temporary purchase and storage policy of corn and soybean, do affect the fluctuation of futures and spot prices of different grain varieties in China. More specifically, the minimum purchasing price policy did reduce the rice and wheat spot price volatility, but increased the future price volatility of rice and wheat during the policy implementation period. The cancellation of temporary purchase and storage policy of corn and soybean led to the increase of spot market volatility of corn and soybean, while the impact on futures market volatility was different between corn and soybean. For corn futures, the implementation of temporary purchase and storage policy had significantly increased price volatility. For soybean futures, the price fluctuation after temporary purchase and storage policy adjustment was greater. The price support policy could reduce the spot price fluctuation of different grain varieties, while the regulation effects of the price support policies were closely related to the state of supply and demand, the market situation, and the degree of relation between domestic and international market for different grain varieties applying the price support policy. So it is very important to take these factors into account for price policy making, and the improvement of the price support policy also needs to pay attention to the impact on the fluctuation of the futures market in order to promote the futures market to play the role of price guidance and discovery.