The Price Discovery Of Major Products Of Agriculture

Agricultural futures is one of the earliest futures varieties produced in the 19th century in Chicago. When the supply and demand appeared sharp contradictions in that time, the suppliers want to build a market which can effectively regulate the supply and demand of the market, then agricultural futures is made. Our country is a large agricultural nation, with agriculture as the first industry, agriculture directly relates to the current and future development and people's lives. At present, our country is experiencing inflation stage, the state council premier --Wen Jiabao in the government work report said that we must keep general level of price stability as a priority of macroeconomic control. We should give priority to economic and legal means, assisted by the necessary administrative means, strengthen overall price control and supervision.Chen Xiwen said that to better curb inflation in 2011, the very important aspect is ensure supply of major agricultural products such as grains, and ensure the stability of the main agricultural prices. Maintain agricultural prices stable not only can reduce consumers burden, but also be helpful for agricultural equilibrium and stable inflation expectations. Besides facing inflation pressure, agricultural product of china in 2011 beyond the year with commodity price volatility. The drought has certain influence on winter wheat for China's grain. In April 2011, the vegetables slow-moving strikes farmers enthusiasm.In May 2011, the south face the test of the drought. Our country always pay great attentions to the change of agricultural prices, which reflect the important influence of agricultural prices change.In view of our country's current economic situation, this paper uses derivatives market for agricultural prices on the futures market, focuses on agricultural futures market price discovery function. There are many different kinds of agricultural futures, this paper selects those futures which appeared earlier in China futures market.The represent varieties is Dalian commodity exchange corn and soy 1, Zhengzhou commodity exchange hard wheat. Futures data adopted DaShangSuo and Zhengzhou Commodity Exchange weeks settlement price, stock data released by the bread of the national acquisition average net. In order to avoid the limitations of qualitative analysis, we also take the correlation analysis,stationarity test,cointegration test,error correction model,granger causality test,impulse response function and variance decomposition method for specific empirical analysis. The qualitative analysis and quantitative analysis effectively are combined. The result is that our future market has price discovery function.But this effect is not significant because our market is weak efficient.As for the leadership,only the hard wheat market has a double lead and the other two are single lead.The different is that future lead spot market in soy 1 while spot lead future market in corn market.The differences between this paper and other articles lies in data selecting and the software. This paper stock data select the national average of weeks, rather than a quotation point outbound price or the purchase price, so we can make spot data more representative, thus make the analysis more reliable. In the analysis, this paper will combine SAS software and Eviews software in means of data analysis to overcome the current single Eviews analysis situation. The main shortage is that a mainstream mature econometric analysis methods is adopted in this paper, no some new model or theory is used for futures market price discovery research. Hope later on this aspect we can recover.