中国菜籽油期货价格联动性的实证研究
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摘要
菜油是我国三种主要油脂品种中唯一主要由国内供给的植物油,菜油的价格不但关系着油菜产业生产经营者的利益,还左右着菜油的稳定供给,对我国食用油安全意义重大。随着菜油期货在郑州交易所的上市,油菜产业有了规避现货价格波动风险的渠道。期货市场发现价格的功能的有效发挥不仅能指导农户和企业有预见性地安排生产经营活动,也为国家宏观调控提供了决策参考和新的手段。期货价格运行的联动性,一方面可以衡量期货市场的发达程度,另一方面也在很大程度上决定着企业利用期货市场的程度和效果。
本文采用定量研究和比较研究相结合的方法,利用向量自回归模型、Granger因果检验、方差分解、协整和误差修正模型对菜油期货价格进行多角度、层次递进的实证研究,旨在评估菜油期货价格运行的联动性,说明目前菜油期货运行的情况及可能存在的问题。本文首先通过理论梳理,阐述了期货市场发现价格功能的核心地位,并对所采用的协整等数学模型做了相关介绍。接下来,分三个层次从不同角度实证菜油期货价格的联动性。
第一个层次是对期货市场发现价格功能的评估。本文结合实际,首次区别了产区现货价和销区现货价,两者结合与期价建模,以确定不同地区的现货价格和期货价格的关系。并且在向量自回归中,对序列进行分时间段的建模,充分揭示了各价格对期货定价的影响随时间变化的情况。第二个层次是考察菜油期货价格和其他油脂期货价格的关联性,评估菜油期货在整个油脂期货中的影响。在此基础上,设计菜油及与其关系密切的油脂期货之间的套利策略,总结套利的实施效果。第三个层次是从国际关联性的角度,研究我国菜油期货价格与极具影响力的加拿大菜籽期货价格的关联性,通过对比揭示我国菜油期货在国际市场的影响。
经过研究发现,菜油期货价格具备发现价格的功能,在菜油定价中起到主导作用。随着交割仓库在销区的增设以及时间的推进,销区现货价格在定价中的作用有所提高。但是存在现货价格不引导期货价格的问题,菜油期货发现价格功能的进一步发挥仍需现货市场的配合。在三大油品的定价中,菜油期货也有着主要贡献。所设计的套利策略成功率较高,实施有效。另外,郑商所菜油期货价格运行独立,受外盘影响比较小。在接下来的发展中仍需进一步提高市场开放程度,扩大影响力。
综合研究结论认为,菜油期价运行的联动性较好。结合菜油在我国植物油消费中的地位以及未来的健康消费趋势,菜油期货发展仍具备较大的发展空间,能在现货市场的避险以及我国对国际定价权的争夺中做出更大的贡献。未来菜油期货价格的有效运行主要依赖两个方面,一个是现货市场的配套健全,要扶植现货市场形成具规模经济和国际竞争力的企业,改善油脂经营企业小而多,现货市场缺乏有力领跑力量的现况。另一个是要突出我国非转基因健康菜油的优势,通过差异化竞争开拓新的定价领域,争夺非转基因菜油国际定价中心地位。
Rape oil is the only vegetable oil supplied by the domestic market. Its price decides the interests of farmers and enterprises of oil industry, and relates to the stable supply of rape oil, too. It's of great significance to China's edible oil security. As the rape oil listed on Zhengzhou commodity exchange market(ZCE),the rape industry found way to avoid the spot price risk. Price discovery function can guide farmers and enterprises to organize production and business, besides, it provides reference information for government's intervention. The operation of futures price is important to measure the development level of the futures market,and determines the effectiveness of futures markets to the large extent.
In this paper, quantitative research and comparative method are combined. Vector autoregressive models(VAR), Granger causality test, variance decomposition, cointegration and error correction model(ECM) are used to analyze the rape oil futures price. The writer try to assess the efficiency of rape oil futures price, indicating the operating conditions and the possible problems of rape oil futures. This paper expounds the central status of the price discovery function of futures market by clarifying related theory, then introduces the mathematical models. The paper uses empirical study to assesses the efficiency of rape oil futures price from three aspects.
Based on the price discovery theory, this study assesses the price discovery function firstly. Taking the spot price of sales region into account, the study includes the futures price, spot prices of producing area and sales region to model, which demonstrates the relationship between spot prices of different areas and futures price for the first time. What's more, the writer separates time series to set two VAR model, in order to reveal the prices influence in pricing futures price over time. The second step is studying the relationship between rape oil futures price and other oil's. On this basis, constructs arbitrage strategy between rape oil and soybean oil and evaluate the effect. The third step studies the relationship between the rape oil futures price in China and the rapeseed futures price in Canada, showing the international influence of rape oil future on ZCE.
The empirical study concludes the rape oil futures price play a dominant role in pricing, which means the price discovery function runs well. With the delivery storage set up in Sichuan and in advance of the time, the pricing influence of spot prices in the sales region has increased. Spot price doesn't guide the futures price. To further the futures price discovery function, the spot market should be developed. The rape oil has a major contribution in the three oil futures'pricing. The designed arbitrage strategy is conducted effectively. In addition, the rape oil futures price of ZCE runs independently, slightly affected by the international market. In the next development, China need to open market and expand influence.
The research concluded the rape oil futures price running in good condition. Considering the status of rape oil in China's vegetable oil consumption and the health consumption trends in the future, the rape oil future has large development space, with greater contribution to avoid spot market risk and gain the international pricing ability. The future effective operation of rape oil futures price depends largely on two points:one is improve the spot market. The government should help foster large-scale enterprises with international competitiveness, which will be pricing leaders in the spot market. At the same time, the non-genetically modified species advantage should be highlighted. Through competitive differentiation, China explores the non-GM rape oil international pricing center.
本文采用定量研究和比较研究相结合的方法,利用向量自回归模型、Granger因果检验、方差分解、协整和误差修正模型对菜油期货价格进行多角度、层次递进的实证研究,旨在评估菜油期货价格运行的联动性,说明目前菜油期货运行的情况及可能存在的问题。本文首先通过理论梳理,阐述了期货市场发现价格功能的核心地位,并对所采用的协整等数学模型做了相关介绍。接下来,分三个层次从不同角度实证菜油期货价格的联动性。
第一个层次是对期货市场发现价格功能的评估。本文结合实际,首次区别了产区现货价和销区现货价,两者结合与期价建模,以确定不同地区的现货价格和期货价格的关系。并且在向量自回归中,对序列进行分时间段的建模,充分揭示了各价格对期货定价的影响随时间变化的情况。第二个层次是考察菜油期货价格和其他油脂期货价格的关联性,评估菜油期货在整个油脂期货中的影响。在此基础上,设计菜油及与其关系密切的油脂期货之间的套利策略,总结套利的实施效果。第三个层次是从国际关联性的角度,研究我国菜油期货价格与极具影响力的加拿大菜籽期货价格的关联性,通过对比揭示我国菜油期货在国际市场的影响。
经过研究发现,菜油期货价格具备发现价格的功能,在菜油定价中起到主导作用。随着交割仓库在销区的增设以及时间的推进,销区现货价格在定价中的作用有所提高。但是存在现货价格不引导期货价格的问题,菜油期货发现价格功能的进一步发挥仍需现货市场的配合。在三大油品的定价中,菜油期货也有着主要贡献。所设计的套利策略成功率较高,实施有效。另外,郑商所菜油期货价格运行独立,受外盘影响比较小。在接下来的发展中仍需进一步提高市场开放程度,扩大影响力。
综合研究结论认为,菜油期价运行的联动性较好。结合菜油在我国植物油消费中的地位以及未来的健康消费趋势,菜油期货发展仍具备较大的发展空间,能在现货市场的避险以及我国对国际定价权的争夺中做出更大的贡献。未来菜油期货价格的有效运行主要依赖两个方面,一个是现货市场的配套健全,要扶植现货市场形成具规模经济和国际竞争力的企业,改善油脂经营企业小而多,现货市场缺乏有力领跑力量的现况。另一个是要突出我国非转基因健康菜油的优势,通过差异化竞争开拓新的定价领域,争夺非转基因菜油国际定价中心地位。
Rape oil is the only vegetable oil supplied by the domestic market. Its price decides the interests of farmers and enterprises of oil industry, and relates to the stable supply of rape oil, too. It's of great significance to China's edible oil security. As the rape oil listed on Zhengzhou commodity exchange market(ZCE),the rape industry found way to avoid the spot price risk. Price discovery function can guide farmers and enterprises to organize production and business, besides, it provides reference information for government's intervention. The operation of futures price is important to measure the development level of the futures market,and determines the effectiveness of futures markets to the large extent.
In this paper, quantitative research and comparative method are combined. Vector autoregressive models(VAR), Granger causality test, variance decomposition, cointegration and error correction model(ECM) are used to analyze the rape oil futures price. The writer try to assess the efficiency of rape oil futures price, indicating the operating conditions and the possible problems of rape oil futures. This paper expounds the central status of the price discovery function of futures market by clarifying related theory, then introduces the mathematical models. The paper uses empirical study to assesses the efficiency of rape oil futures price from three aspects.
Based on the price discovery theory, this study assesses the price discovery function firstly. Taking the spot price of sales region into account, the study includes the futures price, spot prices of producing area and sales region to model, which demonstrates the relationship between spot prices of different areas and futures price for the first time. What's more, the writer separates time series to set two VAR model, in order to reveal the prices influence in pricing futures price over time. The second step is studying the relationship between rape oil futures price and other oil's. On this basis, constructs arbitrage strategy between rape oil and soybean oil and evaluate the effect. The third step studies the relationship between the rape oil futures price in China and the rapeseed futures price in Canada, showing the international influence of rape oil future on ZCE.
The empirical study concludes the rape oil futures price play a dominant role in pricing, which means the price discovery function runs well. With the delivery storage set up in Sichuan and in advance of the time, the pricing influence of spot prices in the sales region has increased. Spot price doesn't guide the futures price. To further the futures price discovery function, the spot market should be developed. The rape oil has a major contribution in the three oil futures'pricing. The designed arbitrage strategy is conducted effectively. In addition, the rape oil futures price of ZCE runs independently, slightly affected by the international market. In the next development, China need to open market and expand influence.
The research concluded the rape oil futures price running in good condition. Considering the status of rape oil in China's vegetable oil consumption and the health consumption trends in the future, the rape oil future has large development space, with greater contribution to avoid spot market risk and gain the international pricing ability. The future effective operation of rape oil futures price depends largely on two points:one is improve the spot market. The government should help foster large-scale enterprises with international competitiveness, which will be pricing leaders in the spot market. At the same time, the non-genetically modified species advantage should be highlighted. Through competitive differentiation, China explores the non-GM rape oil international pricing center.
引文
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