农产品价格波动原因的实证分析——市场供需还是金融因素

An Empirical Analysis on the Reason of Price Volatility in Agricultural Products: Market S&D or Financial Factor

中文关键词:  农产品价格  玉米期货  库存消费比  金融因素

英文关键词:prices of agricultural products  corn futures  inventory-to-consumption ratio  financial factors

中文摘要:

      2007年以后，农产品价格波动剧烈且波动频率加快，引发农产品价格波动的根本因素究竟是市场供需还是投机因素的争论。文章以玉米为例，基于美国玉米期货价格，实证分析了市场供需因素和利率、汇率等金融因素对玉米价格的影响。结果表明：市场供需始终主导着玉米价格变动的总体方向，金融因素对玉米价格有影响，但影响不大；近年来投机资金的增加不仅提高了玉米价格和其他金融市场之间的关联性，还加大了玉米价格的短期波动幅度。

英文摘要:

      Since 2007, the prices of agricultural products have fluctuated considerably and frequently, which triggers a focal debate over the reason whether market supply-demand or speculation is the fundamental factor for price volatility in agricultural products. Taking the corn for example, based on the U.S. corn futures price, this paper analyzes how market supply-demand and “financial factors” such as interest rates and exchange rates influence the price of corn. The results show that market supply and demand dominate the overall change in the corn price and financial factors have little impact on it. These years, the rise in speculative funds has increased not only the correlation between corn price and other financial markets but also the short-term fluctuation in corn price.