A Study On Price Transfer Effect Of Corn Spot Price And Futures Price Of US And China

China is the second largest producer and consumer of corn in the world after the United States.The corn industry plays an important role in China's agricultural development.In 2008,in order to protect China's corn price from wild fluctuations in international prices,the government issued a temporary storage policy.The temporary storage policy effectively stabilized the corn price in China,but it also had a serious negative effect:the corn price was extremely rigid and deviated from the reasonable range,which made the operation mechanism of corn market seriously distorted.In 2016,the government officially abolished temporary storage policy of corn and introduced a new policy of "marketization of acquisition" and "subsidy".The main content of the new policy is to restore the decisive role of market pricing in the formation of corn prices,which is determined by the supply and demand of the market.Based on this background,this paper studies the effect of temporary storage policy reform on the transfer effect between the spot prices and the futures prices of corn in China and in the United States,and provides reference for the government to formulate the macro-control policy of China's corn market.The main research contents of this paper are as follows:firstly,it analyzes the main basis of temporary storage policy of corn in our country,then it analyzes the influence of the reform of the temporary storage policy of corn on the price transfer effect between corn spot,corn futures in China and corn futures in the Chicago board of trade(CBOT)on the basis of relevant theories.Secondly,combining with the present situation of corn market,the paper analyzes the prices of corn spot,corn futures in China and corn futures in CBOT,and studies the characteristics of China's prices fluctuations of corn spot and corn futures through the GARCH model.Thirdly,it divides the sample data into two phases:before and after the cancellation of the policy,and then studies the price transfer effect of corn spot,corn futures in China and corn futures in CBOT in the two phases based on the mean level and studies the wave transfer effect of the three markets with Wald test through the VECM-BEKK-GARCH model.Finally,the paper gives some relevant policy suggestions for the macro-control of corn in China.The empirical results show that:(1)the volatility of corn futures and spot prices in China is characterized by persistence and durability,and the fluctuation is asymmetry.(2)Based on the price transfer on the mean level,the information transfer of corn futures and corn spot market in China is more smooth and the reaction capacity to the market information is significantly enhanced after the cancellation of the temporary storage policy of corn.After the cancellation of the temporary storage policy,the guidance effect of China's corn futures on the corn spot is obviously improved,and the explanatory power of our corn futures price on CBOT corn futures price has been significantly improved.During the temporary storage policy,the indirect transfer effect of CBOT corn futures on the price of corn spot in China was weak through the futures approach,and the indirect transfer effect was significant after the temporary storage policy was cancelled.(3)Based on the fluctuation spillover effect of variance level,the fluctuation spillover effect of corn spot price in China,DCE and CBOT's corn futures price was significantly enhanced after the temporary storage policy was cancelled.Any two markets of the three exists bidirectional volatility spillover effect.CBOT's corm futures price dominate in the fluctuations of corn futures price in China and CBOT.