以研究农产品期货基差动态调整过程为目的,根据在预期理论框架下期货价格等于未来现货价格无偏估计值的理论前提,基差与现货价格的关系可以由状态空间模型来识别.结合农产品价格的季节性和均值复归性的两大特性,首先建立现货价格的状态转移方程,然后基于预期理论框架推导出基差的状态量测方程, 构造状态空间模型,从现货价格提供的信息来推断基差动态调整过程,最后以郑州强麦为例进行了实证分析.

The purpose of the study is to estimate the dynamic process of the basis change of agricultural futures. Since futures price equals to the unbiased estimation of spot price under the expectations theoretical framework, the relationship between basis and spot price can be identified by the state space model. In this study, basing on the seasonal and mean-reversion nature of agricultural price, the state transition equation of spot price is initially established. The measurement equation of basis is deduced under the framework of expectations theory. Then the state space model is constructed, through which the dynamic process of basis change is inferred from the information provided by spot price. At the end of the paper, an empirical research on the futures basis change of strong gluten wheat in CZCE is presented.