目标价格政策提升了大豆期货市场功能吗?——基于双重差分方法的研究被引量：3

Does Target Price Policy Enhance Function of Soybean Futures Market?Study Based on Difference-in-Differences Model

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摘要运用双重差分模型对大豆期货市场的期货价格、期货价格波动率、换手率等相关指标进行分析,探究了目标价格政策对我国大豆期货市场功能的影响效果。研究发现,目标价格政策的实施使我国大豆期货市场价格下降,大豆期货价格向现货价格靠拢,国内外大豆期货价差缩小,价格倒挂缓解,期货市场的价格引导功能得以实现。同时,目标价格政策的实施使得大豆期货市场的波动性增强,期货市场高风险高收益特征明显,市场有效性提高;大豆期货交易换手率提高,期货合约交易的流动性加强,期货市场套期保值功能得以提升。对此提出农产品价格市场化改革有助于引导农产品市场化定价、完善农产品期货市场价格运行机制,从而促进我国农产品期货市场稳健发展,因此进一步市场化改革是必要的。 By using difference-in-differences model,this paper analyzes relevant indicators of soybean futures market to explore effect of target price policy on function of soybean futures market in China.The study shows that implementation of target price policy makes market price of soybean futures drop in China,the price of soybean futures is closing to spot price,the price difference between domestic and foreign soybean futures is reduced,the price inversion is alleviated,and the price guidance function of futures market is realized.At the same time,implementation of target market policy makes volatility of soybean futures market increase,characteristics of high risk and high yield of futures market tend to be more pronounced,and market efficiency is improved.The turnover rate of soybean futures trading is increased,the liquidity of futures contract trading is strengthened,and hedging futures market is improved.In this regard,it is proposed that market-oriented reform of agricultural product prices can help to guide market-based pricing of agricultural products and to improve price operation mechanism of agricultural product futures market,thereby,to promote steady development of China's agricultural product futures market.So it's necessary to have further market-oriented reforms.

作者徐建玲周志远储怡菲胡晓明 XU Jianling;ZHOU Zhiyuan;CHU Yifei;HU Xiaoming(School of Accounting, Nanjing University of Finance and Economics, Nanjing 210023, China;Collaborative Innovation Center for Modern Grain Circulation and Safety, Nanjing 210023, China;Institute of Finance and Economics, Shanghai University of Finance and Economics, Shanghai 200433, China)

机构地区南京财经大学会计学院江苏省粮食流通与安全协同创新中心上海财经大学财经研究所

出处《南京财经大学学报》 2020年第4期23-33,共11页 Journal of Nanjing University of Finance and Economics

基金国家自然科学基金青年项目“农村劳动力转移背景下的生产环节外包与农业经营绩效研究”(71503119) 国家自然科学基金青年项目“农地确权、调整经历与农户耕地质量保护行为:机理与实证”(71803077) 江苏高校哲学社会科学研究重点项目“目标价格政策对大豆期货市场的影响研究”(2017ZDIXM064)。

关键词双重差分法目标价格政策大豆期货市场政策评价 difference-in-differences model target price policy soybean futures market policy evaluation

分类号 F830 [经济管理—金融学] F32 [经济管理—产业经济]

作者简介徐建玲(1975—),女,甘肃定西人,南京财经大学会计学院、江苏省粮食流通与安全协同创新中心教授,经济学博士,硕士生导师,研究方向为粮食安全理论与政策、价值评估;周志远(1997—),男,安徽宣城人,南京财经大学会计学院硕士研究生,研究方向为会计学、价值评估;通讯作者:储怡菲(1996—),女,安徽安庆人,上海财经大学财经研究所博士研究生,研究方向为农业经济;胡晓明(1963—),男,江苏常州人,南京财经大学会计学院教授,研究方向为公司治理与估值。