财经论丛

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农产品期货价格发现功能的新证据——基于固定效应和工具变量法对鸡蛋期货的分析

林海波1,杨柳2   

  1. 1.宁波大红鹰学院财富管理学院,浙江 宁波 315175;
    2. 复旦大学公共管理与公共政策研究创新基地,上海 200433
  • 收稿日期:2017-05-09 出版日期:2017-12-10 发布日期:2017-12-10

New Evidence of Futures Price Discovery in Agricultural Products——An Analysis Based on the Fixed Effect and Tool Variable on Egg Futures

LIN Haibo1, YANG Liu2   

  1. 1. Wealth Management Institute,Ningbo Dahongying University, Ningbo 315175, China;
    2. The State Innovative Institute for Public Management and Public Policy Studies, Fudan University, Shanghai 200433, China
  • Received:2017-05-09 Online:2017-12-10 Published:2017-12-10

摘要:

本文使用固定效应模型以及工具变量法,考察大商所鸡蛋期货上市前后的鸡蛋大宗成交价(替代期货成交价)和零售价的差异,实证分析结果表明:鸡蛋期货上市使得大宗成交价和零售价差异收敛。由于使用季度数据,消除了鸡蛋期货的短期炒作特征,在忽略价值链特征的地区差异的情形下,表明起码在保存期短的农产品品种上,期货可以部分起到平抑价格的作用,增加消费者福利。

关键词: 鸡蛋期货, 价格发现 , 固定效应, 工具变量

Abstract:

Different from the traditional time series (residual) analysis method, based on moving average and sequence difference or multiple regression analysis and its expansion, this paper uses the fixed effect model and the tool variable method to investigate the difference between the price and the retail price of the egg before and after the listing of the egg futures. The empirical results show that the egg futures market makes the differences between the two prices converge. Due to the use of quarterly data, which eliminates the short-term speculation characteristics of egg futures, if the value chain characteristics of the differences in the case of flowers are not taken into consideration, futures can partially stabilize the prices and add to consumers' welfare in the short shelf life of agricultural products at least.

Key words: Egg futures, Price discovery, Fixed Effect, Instrumental Variable

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