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

财经论丛

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.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. 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/Abstract

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

中图分类号:

F724.5

林海波,杨柳. 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[J]. 财经论丛.

LIN Haibo, YANG Liu. New Evidence of Futures Price Discovery in Agricultural Products——An Analysis Based on the Fixed Effect and Tool Variable on Egg Futures[J]. .

参考文献

[1] Bigman D., Goldfarb D., Schechtman E. Futures Market Efficiency and the Time Content of the Information Sets[J]. Journal of Futures Markets, 1983, 3(3): 321-334.
[2] Engle R. F., Granger C. W. J. Co-Integration and Error Correction: Representation, Estimation, and Testing[J]. Econometrica, 1987, 55(2): 251-276.
[3] Johansen S., Juselius K. Maximum Likelihood Estimation and Inference on Cointegration-with Applications to the Demand for Money[J]. Oxford Bulletin of Economics and statistics, 1990, 52(2): 169-210.
[4] Hasbrouck J. One Security, Many Markets: Determining the Contributions to Price Discovery[J]. The Journal of Finance, 1995, 50(4): 1175-1199.
[5] Gonzalo J., Granger C. Estimation of Common Long-memory Components in Cointegrated Systems[J]. Journal of Business & Economic Statistics, 1995, 13(1): 27-35.
[6] 梁权熙, 岳冠英, 陈君. 期货市场在我国食糖市场价格形成中的作用——基于白糖期货价格与现货价格关系的实证研究[J]. 华北金融, 2009, (1): 8-11.
[7] 毛学峰, 贾伟. 大豆及制成品动态特征价格的实证研究[J]. 农业技术经济, 2016, (7): 73-80.
[8] Chavas J. P., Kim K. Cointegration Relationships and Hedonic Pricing of Differentiated Commodities: an Application to Price Dynamics in the US Dairy Sector[J]. Applied Economics, 2005, 37(16): 1813-1827.
[9] 庞贞燕, 刘磊. 期货市场能够稳定农产品价格波动吗——基于离散小波变换和GARCH模型的实证研究[J]. 金融研究, 2013, (11): 126-139.
[10] 李哲敏, 许世卫, 董晓霞, 等. 中国禽蛋产业链短期市场价格传导机制[J]. 中国农业科学, 2010, (23): 4951-4962.
[11] Buguk C., Hudson D., Hanson T. Price Volatility Spillover in Agricultural Markets: An Examination of US Catfish Markets[J]. Journal of Agricultural and Resource Economics, 2003,28(1): 86-99.
[12] 杨悦, 陈铸新, 廖宜静. 我国鸡蛋期货价格发现功能的实证研究[J].山西农业大学学报 (社会科学版), 2015, (6): 627-632,644.
[13] Zhang Z., Jiang Y., Lu Q. Empirical Research on Effect of Egg Price Fluctuation on the Welfare of Urban Residents With Different Levels of Income [J]. Journal of Northwest A&F University (Social Science Edition), 2013, (2): 10.
[14] Joyeux R., Milunovich G. Testing Market Efficiency in the EU Carbon Futures Market[J]. Applied Financial Economics, 2010, 20(10): 803-809.
[15] 陈蓉, 郑振龙. 期货价格能否预测未来的现货价格?[J]. 国际金融研究, 2007, (9): 70-74.
[16] Ferto I., Szabo G. The Choice of Supply Channels in the Hungarian Fruit and Vegetable Sector—A Case Study[J]. Kozgazdasagi Szemle (Economic Review), 2004, 1(51): 77-89.
[17] 郭红东, 蒋文华. 影响农户参与专业合作经济组织行为的因素分析——基于对浙江省农户的实证研究[J]. 中国农村经济, 2004, (5): 10-16.
[18] 岳奎, 赵小丽. 强与弱: 代际农民的信息能力差异及信息化策略[J].河南师范大学学报(哲学社会科学版),2015, (1): 58-61.
[19] Reardon T., Henson S., Berdegué J. ‘Proactive Fast-Tracking’ Diffusion of Supermarkets in Developing Countries: Implications for Market Institutions and Trade[J]. Journal of Economic Geography, 2007, 7(4): 399-431.
[20] Dawe D. Have Recent Increases in International Cereal Prices been Transmitted to Domestic Economies? The Experience in Seven Large Asian Countries[Z]. FAO-ESA Working Paper, 2008, 8(3): 1-12.
[21] 季旭,齐贺, 李飞.生鲜电商供应链研究[J].商场现代化, 2016, (21): 32-33.
[22] 刘丽.社区生鲜农产品连锁店发展情况浅析[J].科技经济导刊, 2016, (24): 61.
[23] 王茜. “互联网+” 促进我国消费升级的效应和机制[J]. 财经论丛, 2016,(12): 94-102.
[24] 王程, 王涛, 蒋远胜. 西部地区生鲜农产品物流水平评价和发展模式选择[J]. 软科学, 2014, (2): 136-144.
[25] 朱邦耀,宋玉祥,李国柱.中国本土零售连锁超市空间扩张特征与格局研究——以永辉超市为例[J]. 人文地理, 2016,(4): 80-86.
[26] 车明霞.绵阳市社区超市生鲜农产品经营现状与发展趋势[J].特区经济, 2014, (12): 139-140.
[27] 许红伟,陈欣.我国推出融资融券交易促进了标的股票的定价效率吗?——基于双重差分模型的实证研究[J]. 管理世界, 2012 ,(5): 52-61.
[28] 陈林, 伍海军.国内双重差分法的研究现状与潜在问题[J]. 数量经济技术经济研究, 2015, (7): 133-148.
[29] 黄洁, 钟业喜. 中国城市人口密度及其变化[J]. 城市问题, 2014, (10):17-22.
[30] 肖文金, 张贵华. 经济新常态下农产品终端流通模式选择及其策略[J]. 财经论丛, 2015, (12): 85-91.
[31] 赵学彬, 王炳旭. 论粮食安全中的政府行为[J]. 河南师范大学学报(哲学社会科学版), 2015, (2): 27-30.