Agricultural Futures Market Inflation Expectations Behavior Research

The Chinese government has repeatedly put forward" to manage inflation expectations" as an important focal point of macroeconomic regulation and control since October2009.Managing the inflation expectations has become an important task of macroeconomic regulation and control in China, and thus to seek appropriate and effective focal point of the management of inflation become a real problem that be solved urgently. This article analysises the expected function of agricultural product futures market from the policy level, and establishes the model of inflation expectations for inspection. This makes the agricultural products market in a new information window and influence policy platform for the prospective observation of inflation expectations, and the policy vision are more open.Firstly, this paper makes a literature review of inflation expectations theory, agricultural product market prospect theory and the expected behavior, pointing out that the agricultural product futures market is necessary for the research of inflation expectations, and the agricultural product futures market is a very good policy focus. Secondly, the model discussing part does the following two aspects of work. One is pointing out the estimation problems of F-F model based on the previous study. If we estimate in accordance with the original literature method,the result obtained is biased. This part amend it, establishing a simultaneous equation econometric model, using two stage least squares estimation method to estimate and the estimation results improved substantially. Then we test the risk premium factors of agricultural product futures market and expected function factors using this improved estimation results; second is giving agricultural products futures, spot prices and consumer price index (CPI) a theoretical analysis.There is distribution lag functional relationship between prices of agricultural products and CPI. The part using the Hamilton method to find the explanatory variables of price index. According to the relationship between prices of agricultural products and CPI,we establish a model of inflation expectations, and we decompose CPI into expected part and unexpected part.In this part we originally use a three-dimensional vector space form to reflect the relationship between the single agricultural product futures and price index,and on this basis we calculate the two decomposed parts of CPI in order to achieve the expectation of inflation. Thirdly,in the econometric test process,we first describe the data sources and individual data which were processed,then use the modified F-F model to test if the agricultural products futures basis include the risk premium and expected function, Combining with the theory of storage for real analysis; finally we separately make inflation expectation tests on the whole sample and sample stripping the financial crisis time,and then make evaluation and comparison by using RMSE criterion.In this paper we take agricultural futures market expectations as an analytical starting point.After model metrology test we find that most varieties of the Chinese agricultural futures can detect the information of risk premium.If the management disclosure the information timely information asymmetry problem between the hedgers and speculators can effectively be solved,Making the agricultural futures market more efficient operation. A single agricultural futures market on inflation expectations has one-sidedness,but as the index of estimating market expectations it also has a very important significance and its role can not be ignored.As the fact that inflation expectations are inertial, we objectively need the macroscopical economic departments to establish early warning mechanism on economic inflation,which can play a substantive role on correcting agent expectations during economic fluctuations. The results of model show that the agricultural product futures price implicit effective information of agricultural products price, and can simulate CPI inflation trend and direction in advance, reflecting the important function of information window. Considering the functions, we should make agricultural products futures prices as a important aspect of prospective policy. The enterprises which processes agricultural products and takes agricultural products as raw materials are the main part of futures hedging.In order to to promote the agriculture development of capital market in China, we need to build up futures market trading platform further and expand the futures exchange scale, so as to improve the management level of agricultural industrialization. It is also the important way to promote the development of modern agriculture.