Empirical Study On The Causal Relationship Between Futures Prices And Spot Prices Of China's Grain

In recent years, China's grain production has shown good momentum of development, but in the long term, food supply and demand balance remains tight. With China's gradual integration into the world market economy system, volatility in international grain prices, grain markets also face unprecedented opportunities and challenges. In view of food in the basic role of the national economy, the price discovery function of the futures market does good at slowing down the fluctuations in the spot market price, this paper selected three crops:soybean, wheat, corn, their futures prices and spot price relationship between the price guide relationships and price discovery function of futures markets play a level, empirical analysis of the effectiveness of the market.Futures prices and spot prices are two sides of a price, in essence is the same thing. The complete price system including the actual movement of a variety of prices in the futures market since 2001 has experienced the development of rectification into the specification stage, the futures price and spot price relationship between the regulatory authorities and investors has been the focus of attention. The role and status of futures market in a market economy has been recognized by the government, business and academia.According by ADF stationary test, Cointegration test, Granger causality tests, error correction model, GS model and other statistical methods and econometric models, focusing on the main line—the relationship of China's grain futures market and spot market prices to guide relations between the main line.The main conclusions are:(1) three crop futures prices and spot price time series are non-stationary process, after the first difference stationary sequences, namely, soybean, wheat and corn futures prices and spot prices the whole process a single order; three Cointegration methods show that the three food crops between the futures price and spot price Cointegration relationship exists, that there is a long-run equilibrium relationship. (2) Soybean and corn futures market, spot market prices Granger two-way causal relationship exists, only the wheat futures contract exists only the spot price from the futures prices to a one-way Granger causality. (3) grain futures prices, error correction coefficients are negative, ie, futures prices have the reverse effect of the amendment; and the spot price of error correction coefficients are positive, that the adjustment of spot prices have a positive effect; both error correction coefficient although significant in the statistical sense, but very small values, that is when the spot price deviation from the equilibrium level, to re-adjust back to equilibrium very slowly. (4) of soybean and corn values are greater than 0.5, that is, price discovery in futures markets play a leading role, and in the 5% significance level, the soybean spot market does not have a price discovery function; wheat is less than 0.5, that is, the cash wheat market-driven price discovery play.The innovations of this paper are:(1) in the grain futures prices and spot prices, Cointegration tests, using the Johansen Cointegration test, Engel-Granger two-step method and the spot price based on futures prices is not bias hypothesis three testing methods, to avoid the use of a single method of Cointegration test is not reliable conclusions; (2) on the basis of previous research literature, the latest data as object of study, by means of statistical analysis methods and econometric models, enriching the food market problems of theoretical framework; With the futures market development and deepening of market reform, a comprehensive examination of China's grain futures market and spot market prices to guide relations between; (3) samples data is in the daily settlement price of futures, spot prices are from the Ministry of Agriculture, the national average price, with very good representative of significance.Inadequacies of this article are:(1) in the grain futures prices and spot prices to guide relations between the different measurement model, the emergence of research findings are inconsistent with the previous places, such as wheat on the spot price long-term equilibrium relationship between, for inconsistent interpretation of the phenomenon did not give the reasons; (2) the basis of wheat futures price and spot price series charts become more and more larger,this paper haven't give relevant background to explain this phenomenon.