Corn Financialization, Price Formation Mechanism and Policy Options

Abstract

Abstract:

The growing trend of financialization and energy conversion of corn has changed the price formation mechanism in the corn market. Based on the monthly price data of corn market from September 2004 to July 2017, this paper uses ARDL model to examine the price formation mechanism of China's corn market from the perspectives of supply and demand fundamentals, import and export trade, industry policies and financial factors. The empirical results show that supply and demand fundamentals and industrial policy play a significant role in the formation of corn prices. However, in the financialization, the role of the Baltic Dry Index, the corn futures, the crude oil prices and the exchange rate are more obvious and direct in the pricing mechanism of the corn market. Sensitivity test also verifies the robustness of these conclusions. New changes in the formation mechanism of corn prices make the macro-control policies not only pay attention to changes in supply and demand and other fundamentals, but also improve the information collection and distribution system of the corn market, as well as strengthen supervision and regulation over the international market, futures market and exchange rate market.

Key words: corn, financialization, ARDL model, policy options

Wu Haixia, Ge Yan, Shi Hengtong. Corn Financialization, Price Formation Mechanism and Policy Options[J]. , 2018, 30(11): 35-45.

References

[1] 钟甫宁. 粮食储备和价格控制能否稳定粮食市场?——世界粮食危机的若干启示[J]. 南京农业大学学报(社会科学版), 2011,11(2):20-26
[2] Gilbert C. L. How to Understand High Food Prices[J]. Journal of Agricultural Economics, 2010,61(2):398-425
[3] Carter C. A., Rausser G. C., Smith A. Commodity Booms and Busts[J]. Annual Review of Resource Economics, 2011,12(2):87-118
[4] Etienne X. L., Irwin S. H., Garcia P. Price Explosiveness and Index Trader Behavior in the Corn, Soybean, and Wheat Futures Markets[C]. Proceedings of NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. St. Louis, Missouri, 2012
[5] 吴海霞,霍学喜. 宏观政策对粮食市场价格波动影响的实证分析[J]. 系统工程, 2014,32(4):61-69
[6] 李光泗,郑毓盛. 粮食价格调控、制度成本与社会福利变化[J]. 农业经济问题, 2014,(8):6-15
[7] 詹琳,蒋和平. 粮食目标价格制度改革的困局与突破[J]. 农业经济问题, 2015,(2):14-20
[8] 翟雪玲,徐雪高,谭智心,等. 农产品金融化概念、形成机理及对农产品价格的影响[J]. 中国农村经济, 2013,(2):83-95
[9] Etienne X. L. Financialization of Agricultural Commodity Markets:Do Financial Data Help to Forecast Agricultural Prices?[C]. Selected Paper Prepared for Presentation at the 2015 Agricultural & Applied Economics Association and Western Agricultural Economics Association Annual Meeting, San Francisco, CA, July 26-28, 2015
[10] 吕捷,林宇洁. 国际玉米价格波动特性及其对中国粮食安全[J]. 管理世界, 2013,(5):76-87
[11] 李宁,辛毅,黎嘉家. 中国粮食托市收购政策体系绩效评价研究——兼论粮食价格政策改革方向[J]. 价格理论与实践, 2017,(3):61-65
[12] 吴海霞,葛岩. 粮食托市收购政策效应评估——以玉米临储政策为例[J]. 华中农业大学学报(社会科学版), 2016,(6):56-63
[13] 李光泗,曹宝明,马学琳. 中国粮食市场开放与国际粮食价格波动——基于粮食价格波动溢出效应的分析[J]. 中国农村经济, 2015,(8):44-52
[14] 陈帅,徐晋涛,张海鹏. 气候变化对中国粮食生产的影响——基于县级面板数据的实证分析[J]. 中国农村经济, 2016,(5):2-15
[15] McPhail L. L., Du X., Muhammad A. Disentangling Corn Price Volatility:The Role of Global Demand, Speculation, and Energy[J]. Journal of Agricultural and Applied Economics, 2012,44(3):401-410
[16] Baumeister C., Kilian L. Do Oil Price Increases Cause Higher Food Prices?[J]. Economic Policy, 2014,29(80):691-747
[17] Isakson S. R. Derivatives for Development? Small-farmer Vulnerability and the Financialization of Climate Risk Management[J]. Journal of Agrarian Change, 2015,15(4):569-580
[18] 苏应蓉. 农产品价格波动中金融化因素探析[J]. 农业经济问题, 2011,(6):89-95
[19] 王文斌,戴金平. 国际粮食价格与其产量、消费和库存——基于时间序列的实证研究:1980-2007年[J]. 国际贸易问题, 2009,(5):35-40
[20] 王晶,杨宏恩,张志明,等. 工业化与粮食产量的关系研究:兼论粮食核心区推进工业化的依据[J]. 管理评论, 2015,27(8):47-55
[21] 孙致陆,李先德. 中国粮食进口贸易的"大国效应"检验[J]. 华南农业大学学报(社会科学版), 2015,14(4):99-112
[22] 林大燕,朱晶. 不完全竞争下进口结构变动对中国大豆进口价格的影响研究[J]. 管理评论, 2016,28(9):31-40
[23] 周明磊,任荣明. 考虑生物燃料因素对美国玉米价格走势的预测[J]. 管理评论, 2011,23(9):20-27
[24] Charemza W., Deadman D. New Directions in Econometric Practice[M]. London:Edward Elgar Publishing Ltd, 1992
[25] Pesaran M. H., Shin Y. An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis[R]. Cambridge Working Papers in Economics, 1995
[26] Narayan P. K. The Saving and Investment Nexus for China:Evidence from Cointegration Tests[J]. Applied Economics, 2005,37(17):1979-1990