| As the financial crisis in 2008,the maize price experienced the drastic fluctuation at home and abroad.Chinese government was soon to start the temporary support policy,which had lasted for eight years.The action stabilized the domestic maize price,eased the farmers' sales difficulties and ensured the national food security.However,with the emerging changes in economic situation at home and abroad and grain supply and demand,the new contradiction arose,which is characterized by the explosion in production,import and inventory simultaneously.Policy reformation has been the schedule since 2015.The spot maize price was cutting 200 yuan per ton for the first time.As the result,the forward price started to fall sharply,while spot price was tough.As the fine adjustment of maize temporary support policy could not solve the contradiction completely,Chinese government canceled the temporary support policy,and implemented the policy of "market purchase and subsidy",whence the spot price of maize fell to the imported level.In the process,maize futures and spot prices fluctuate sharply,followed by based difference.What has happened to the price fluctuations,price discovery function and hedging function?The answer to this question is helpful to enrich the research on the impact of changes in agricultural policies on the futures market,but also to help the market participants to better use the futures market to avoid risks.It can also provide the basis for the government to make following agricultural policies.Firstly,this paper summarizes the theory of price volatility,price discovery function and hedging function of futures market,and analyzes the influences of the policy changes on price volatility,price discovery function and hedging function.Secondly,on the basis of relevant policy documents,the maize support policy reform process is divided into three stages,which are 'period of implementation of temporary support policy','period of reformation of temporary support policy' and 'period of marketization purchase policy',and analyzes the fluctuant features of earnings price ratio and base difference of forward price during different periods.Finally,this paper uses GARCH model to analyze the price fluctuation during different periods,then uses VECM-BEKK-GARCH model and VECM-DCC-GARCH model to analyze the changes of price discovery function of futures market during different periods,and uses the ECM-BGARCH model to estimate the hedging ratios of different periods,calculate the hedging efficiency,and analyzes the changes of futures hedging function.The research shows that maize temporary support policy reformation leads to maize forward price decline and base difference rise intermittently,and leads to futures market become more efficient in price fluctuation,and lead to futures market price discovery efficiency and hedging efficiency price decline intermittently.Then this paper puts forward that government can get more information about the effects of agricultural policy implementation from futures market and make it the basis to make future agricultural policies,can timely adopt market maker system to promote market activity,and can strengthen the education and promote individual quality of the market participants. |
