【摘要】 本文运用向量误差修正模型、脉冲响应和方差分解等计量经济学方法对中国近5年来玉米期货市场与现货市场价格之间的相关性、期货市场价格的有效性、期货与现货价格之间的相互引导关系进行实证分析。发现:期货价格与现货价格表现出较强的正相关,存在长期均衡关系;当二者偏离均衡状态时,能以较快的速度回到均衡;期货价格和现货价格对自身的标准差信息有较强烈的反应,但相互之间的影响相对较小。因此,我们应进一步扩大期货市场交易规模,增加粮食期货品种数量,完善农产品价格市场形成机制,从而进一步增强期货市场与现货市场之间的联动关系。更多还原

【Abstract】 This paper used vector error correction model,impulse response and variance decomposition methods to study the relationship between corn’s future market price and cash market price in the near 5 years.The empirical result denotes that the future market price and cash market price have a strongly positive correlativity and a steady equilibrium relationship in the long run.When they diverse the equilibrium state,they can go back again quickly;These two types prices have a strongly affect to their own standard error information,but their interexchange effect are relatively small.So, we should further to expand the size of futures markets,increase the number of agricultural products type,and improve the price formation mechanism of the agricultural markets,and further enhancing the future markets and spot markets linkage between the relationship.更多还原