金融背景下玉米現貨價格波動及採購管理優化研究

Abstract

China is not only a big producer of corn, but also a big consumer of corn. Corn can be widely used in food, feed and deep processing industries. In recent years, the phenomenon of the spot price of corn in China has become increasingly prominent, and the sharp fluctuation of its price has become a major practical problem affecting the corn industry chain and even the national agricultural development and food security. Under this background, it is particularly necessary to study the fluctuation of domestic corn spot price and optimize the procurement management of deep-processing enterprises on this basis.

The factors that affect the spot price of corn in China are complex, and the natural, social and financial attributes blend with each other. First of all, the supply and demand relationship of the spot market is the basic and direct influencing factor. Second, the state's subsidy, storage and other policies for corn are the influencing factors that must be considered. Finally, the financialization phenomenon of China's corn spot price is obvious, which makes macro factors, domestic and foreign futures prices, etc. become important factors affecting the domestic corn spot price. By studying the importance and interaction mechanism of many factors in the fluctuation of spot price of corn in China, and mastering their change rules, we can not only guide deep processing enterprises to establish long-term thinking, reasonably manage the procurement pace and cost, to achieve the industry development, but also guide rational investment from corn planting, storage to the use of the entire supply chain, reduce the channel waste caused by intermediate links such as blind stocking.

This paper comprehensively uses the practical operating data of corn deep processing enterprises and the open market data, and uses the time series analysis method to study the relevant factors of domestic corn spot price fluctuations.

First, the relationship between supply and demand and domestic corn spot price is studied. Due to the substitutability of agricultural products and the difficulty of obtaining the data of national corn supply and demand, this paper takes typical corn deep processing enterprises as the representative to analyze. The research shows that there is a Granger causality among the purchase price of corn spot, the number of delivery vehicles in front of the door of the deep processing enterprises, and the inventory. At the same time, by comparing the spot price of corn in different regions, it is found that the purchase price is affected by regional factors.

Secondly, study the relationship between the policy factors represented by the national purchase and storage of corn and the spot price of domestic corn. The research shows that the change of corn spot price constitutes a one-way Granger causality of the change of corn temporary stock auction price, otherwise it is not. In other words, the change of corn spot price affects the change of temporary stock auction price, while the change of temporary stock auction price does not affect the change of spot price. This also means that the national temporary stock price of corn does not guide the domestic spot price of corn.

Thirdly, study the relationship between macro factors and domestic corn spot price. Through different variable combination tests, after removing some non-significant factors, it is found that the four variables of spot corn price, consumer price index, exchange rate and crude oil price in China constitute a cointegration relationship, and a cointegration equation is given.

Finally, the price transmission between domestic corn futures price, international corn spot and futures price and domestic corn spot price is studied. Through EG two-step method and BEKK-GARCH model, it is found that there is price transmission and mutual volatility spillover relationship between domestic corn spot price and domestic futures price, but there is no such relationship with international futures price (CBOT).

Based on the above research on domestic corn spot price, this paper optimizes the procurement management of specific corn deep processing enterprises. In view of the problem of short-sightedness caused by the experiential procurement management that was originally priced by the number of vehicles in front of the door, the new procurement management strategy is mainly optimized from three aspects: price, procurement volume and hedging. The calculation results show that the optimization of pricing based on Dalian spot price, the optimization of pricing and inventory based on macro factor analysis, and the use of futures market for hedging can all achieve the improvement of corn spot purchase management.

Date of Award	30 Mar 2023
Original language	Chinese (Traditional)
Awarding Institution	City University of Hong Kong
Supervisor	Yifan Xu (External Supervisor) & Tao LI (Supervisor)