金融背景下玉米現貨價格波動及採購管理優化研究
Research on the Price Fluctuation of Corn Spot and Procurement Management Optimization: Under the Background of Financialization
Student thesis: Doctoral Thesis
Author(s)
Related Research Unit(s)
Detail(s)
| Awarding Institution | |
|---|---|
| Supervisors/Advisors |
|
| Award date | 30 Mar 2023 |
Link(s)
| Permanent Link | https://scholars.cityu.edu.hk/en/theses/theses(29d81c64-0955-4dc6-905b-34f69351abf6).html |
|---|---|
| Other link(s) | Links |
Abstract
我國不僅是玉米生產大國，同時也是玉米消費大國，玉米可廣泛用於食用、飼料和深加工行業。近年來，我國玉米現貨價格金融化現象日益凸顯，其價格的劇烈波動已成為影響玉米產業鏈以至國家農業發展和糧食安全的重大現實問題。在這一背景下，研究我國內玉米現貨價格波動，並以此為基礎優化深加工企業的採購管理顯得尤為必要。
影響我國玉米現貨價格的因素眾多，自然屬性、社會屬性、金融屬性相互交融。首先，現貨市場的供需關係是基礎和直接的影響因素，其次，國家對玉米的補貼和收儲等政策是必須考慮的影響因素，最後，我國玉米現貨價格的還表現出金融化趨勢，這使得宏觀因素、國內外期貨價格等也成為影響現貨價格的重要因素。通過研究眾多因素在我國玉米現貨價格波動中的重要程度以及互相作用機制，掌握其變化規律，不但能引導深加工企業建立長期思維，合理管理採購節奏和採購成本，從而促使行業穩健發展，同時，還能引導從玉米種植、收儲到使用整個供應鏈的理性投資，減少如盲目囤貨等中間環節造成的管道浪費。
本文綜合利用玉米深加工企業實際經營資料和市場公開資料，採用時間序列分析方法對國內玉米現貨價格波動的相關因素進行了研究。
首先，研究供需關係與國內玉米現貨價格的關係。由於農產品的替代性和全國性玉米供需的資料難以獲取，本文以典型玉米深加工企業為代表進行分析，研究表明，玉米現貨的採購價格、深加工企業門前送貨車輛數、庫存量三者存在相互的Granger因果關係。同時，通過比較不同地區的玉米現貨價格，發現採購價格受到區域性因素影響。
其次，研究以玉米收儲為代表的政策因素與國內玉米現貨價格的關係。研究表明，玉米現貨價格的變化構成玉米臨儲拍賣價格變化的單向Granger因果關係，反之則不然。換言之，玉米現貨價格的變化影響了臨儲拍賣價格變化，而臨儲拍賣價格變化並不對現貨價格變化造成影響。這也意味著，國家玉米臨儲投放價格對國內玉米現貨價格並不具有引導作用。
再次，研究宏觀因素與國內玉米現貨價格的關係。經不同變數組合測試，剔除了部分非顯著因素之後發現，我國玉米現貨價格、消費者物價指數、匯率、原油價格這四個變數構成協整關係，並給出了協整方程。
最後，研究國內玉米期貨價格、國際玉米現貨與期貨價格和國內玉米現貨價格之間的價格傳導作用。通過EG兩步法和BEKK-GARCH模型發現：國內玉米現貨價格與國內期貨價格間存在價格傳導和相互波動溢出關係，但是與國際期貨價格（CBOT）並不存在這種關係。
基於上述對國內玉米現貨價格的研究，本文對具體玉米深加工企業的採購管理進行了優化。針對原先通過門前數車定價的經驗性採購管理容易造成短視等問題，新的採購管理策略主要從價格、採購量和套期保值三方面進行優化。測算結果表明，以大連現貨價格為定價基礎的優化、基於宏觀因素分析為基礎的定價與庫存優化以及利用期貨市場進行套期保值，都能夠實現玉米現貨採購管理的改進。
影響我國玉米現貨價格的因素眾多，自然屬性、社會屬性、金融屬性相互交融。首先，現貨市場的供需關係是基礎和直接的影響因素，其次，國家對玉米的補貼和收儲等政策是必須考慮的影響因素，最後，我國玉米現貨價格的還表現出金融化趨勢，這使得宏觀因素、國內外期貨價格等也成為影響現貨價格的重要因素。通過研究眾多因素在我國玉米現貨價格波動中的重要程度以及互相作用機制，掌握其變化規律，不但能引導深加工企業建立長期思維，合理管理採購節奏和採購成本，從而促使行業穩健發展，同時，還能引導從玉米種植、收儲到使用整個供應鏈的理性投資，減少如盲目囤貨等中間環節造成的管道浪費。
本文綜合利用玉米深加工企業實際經營資料和市場公開資料，採用時間序列分析方法對國內玉米現貨價格波動的相關因素進行了研究。
首先，研究供需關係與國內玉米現貨價格的關係。由於農產品的替代性和全國性玉米供需的資料難以獲取，本文以典型玉米深加工企業為代表進行分析，研究表明，玉米現貨的採購價格、深加工企業門前送貨車輛數、庫存量三者存在相互的Granger因果關係。同時，通過比較不同地區的玉米現貨價格，發現採購價格受到區域性因素影響。
其次，研究以玉米收儲為代表的政策因素與國內玉米現貨價格的關係。研究表明，玉米現貨價格的變化構成玉米臨儲拍賣價格變化的單向Granger因果關係，反之則不然。換言之，玉米現貨價格的變化影響了臨儲拍賣價格變化，而臨儲拍賣價格變化並不對現貨價格變化造成影響。這也意味著，國家玉米臨儲投放價格對國內玉米現貨價格並不具有引導作用。
再次，研究宏觀因素與國內玉米現貨價格的關係。經不同變數組合測試，剔除了部分非顯著因素之後發現，我國玉米現貨價格、消費者物價指數、匯率、原油價格這四個變數構成協整關係，並給出了協整方程。
最後，研究國內玉米期貨價格、國際玉米現貨與期貨價格和國內玉米現貨價格之間的價格傳導作用。通過EG兩步法和BEKK-GARCH模型發現：國內玉米現貨價格與國內期貨價格間存在價格傳導和相互波動溢出關係，但是與國際期貨價格（CBOT）並不存在這種關係。
基於上述對國內玉米現貨價格的研究，本文對具體玉米深加工企業的採購管理進行了優化。針對原先通過門前數車定價的經驗性採購管理容易造成短視等問題，新的採購管理策略主要從價格、採購量和套期保值三方面進行優化。測算結果表明，以大連現貨價格為定價基礎的優化、基於宏觀因素分析為基礎的定價與庫存優化以及利用期貨市場進行套期保值，都能夠實現玉米現貨採購管理的改進。
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.
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.
- spot price of corn, Financialization, procurement management
