中国期货市场功能研究

【作者】 许诺；

【导师】 赵长茂；

【作者基本信息】 中共中央党校 ， 政治经济学， 2010， 博士

【摘要】 2008年世界经济、金融体系出现重大危机,以美国为主要代表的西方市场经济国家遭受严重挫折,危机波及全球。在本次金融危机中,期货及衍生品市场的功能、作用倍受争议,期货市场是“魔鬼还是天使”,对160年来国际期货市场发展进行回顾和总结,对期货市场的功能演进进行系统的梳理变得十分必要。2008年也是我国改革开放三十周年,在此期间,中国经济处于新兴加转轨时期,既走过不平凡的历程,也取得了令世界瞩目的经济成就,同样需要我们对社会主义市场经济基础理论进行总结和创新。在经历二十余年的发展之后,作为“舶来品”的中国期货市场日益在我国社会主义市场经济建设过程中发挥正面和积极的作用。因此,在马克思政治经济学基础上对期货市场功能模型重新构建,建立有中国特色社会主义市场经济的稳定体系,也必将有助于期货市场与实体经济的结合,更好地服务国民经济的发展。本文以实证分析和比较分析为主,对期货市场的功能进行探讨和深化,对市场运行中表现出的现象进行描述和解释,进而说明该市场现象产生的内因和外因,寻找解决存在问题的途径。通过与发达国家市场发展的阶段进行比较,进一步认清我国期货市场发展的时期特征,尽量避免抽象的理论研究。本文还结合博弈论、行为经济学等相关学科,探索在不确定性条件下期货市场产生均衡价格的内在机理和达到帕累托最优状态的可能性,用博弈的观点分析期货市场的价格形成和相应内外部条件的构建,将使文章具有很强的可读性并易于理解。在若干章节运用数学公式和几何图形相结合的手段,对期货市场进行四象限图例分析,同时对期货市场的投入要素和产出成果建立函数关系,采用国际最新的计量研究方法——协整检验方法。用于提高模型的解释能力,提高模型的可靠性和稳定性。最后,历史演变和逻辑发展统一,定性分析和定量分析结合,线性与非线性关系的交融,规范分析和实证分析的浑然一体都必不可少。本文第一章从国内外期货市场功能理论综述入手,对国内外有关期货市场功能、作用的七方面有代表性理论观点进行了总结和评价。第二章从国际视角切入,结合美国、英国、亚洲期货市场的发展路径和功能演变,同时对期货市场功能在1929年经济危机、1987年金融危机、1997年东南亚金融危机、2008年金融危机条件下的演进进行了实证分析,提出危机条件下经济失衡的诱因顺序和表现结果顺序的反向关系的创新性观点。第三章首先回顾了我国引入期货市场理论准备和实践条件,熟悉期货市场的专家可以略过,第二节则是对于我国期货市场与国外期货市场不同的发展路径进行了创新性重点分析,指出中国期货市场的发展路径则是“理论先行,过程纠错”,主要原因是中国期货市场不是建立在一个相对发展的现货市场基础之上,而是在经济转轨过程中的“小企业、弱市场”的格局中发展和逐步演进。同时提出:期货市场的核心功能,即风险管理。对于监管层也提出了对于期货市场价格波动“零干预”和对于期货市场违规“零容忍”的操作建议。第三节对期货市场与资本市场和保险市场的关系进行了细致的分析,得出:期货市场的发展与保险市场的发展一脉相承;期货市场理论渊源应该从保险市场中探寻,期货市场的发展是保险理论在价格风险管理中的运用实践。同时运用四框架图例直观地将银行、资本市场、保险市场和期货市场的关系展示。第四章从期货市场的行为经济学基础开始研究,分析期货市场参与主体的心理对于期货市场价格的形成的影响,同时在马克思政治经济学的基础上,纠正了期货市场理论认识的一些误区,对中国期货市场的发展从功能的角度划分为四个阶段,并创新性地构建了我国期货市场的四阶段模型。第五章从中国期货市场管理模式变革、参与主体优化、规模效应、效率因素、利益格局等方面对于我国期货市场功能进一步发挥提出思考。特别是利益格局问题研究是国内期货市场研究中很少涉及的领域,笔者结合实际工作提出健康的期货市场需要形成期货交易所和期货公司利益合理布局的共同卖方市场,共同为国民经济服务。第六章从宏观领域进行分析,提出逐步成熟的我国期货市场可以发挥相关行业的促进和稳定,经济先行指标、宏观调控依据,货币政策制订依据等方面的宏观效应,得出:成熟期货市场是公共物品,和教育、环保一样具有很强的正外部效应,应该大力发展,从政策上给予扶持。第七章是开放条件的中国期货市场功能拓展,我国正处于和平发展的重要时期,在国际贸易中,比较优势理论不可持续,我国应尽快建立“大国思维”模式,在国际大宗商品市场积极进行话语权和定价权的争夺。目前,世界战争的主战场从领土的争夺转移到对资源等经济利益的争夺,利用对市场控制和影响的软实力来掌握世界经济格局,全球资源、商品定价权的争夺将是和平时期一个长期、持续的战略命题。第八章对进一步促进我国期货市场功能发挥提出五点政策建议,尽快推动建立衍生品监督管理委员会;从财政、税收的角度为期货市场减负,鼓励更多的企业利用期货市场进行风险管理,转变经济发展方式,提升企业的核心竞争力;期货市场的交易成本必须大幅度降低,才能像保险市场一样发挥风险管理的市场功能;尽快推进农产品商品期权试点;同时对我国期货市场大宗商品定价权策略进行设计,最后对于我国期货市场适度对外开放提出三个具有实际操作性的步骤。当然,由于笔者学识、能力所限,未必能够深入、细致掌握中国期货市场功能发挥全貌,权当抛砖引玉,吸引更多的专家、学者关注我国期货市场的基础理论发展与创新。更多还原

【Abstract】 Great crisis descends on global financial system in 2008. Western market economy countries represented by America, suffer greatly, and the crisis spreads to every corner of the world. In this crisis, the functions of futures and other derivatives are seriously questioned. Is futures market a curse or boon? To answer this question, a review of the development of global Futures markets as well as a systematic analysis of the transformation of its function become invaluable.2008 is the thirtieth year since reform and opening-up. During this period, Chinese economy, in a stage of renewing and transforming, creates a splendid history and accomplishes remarkable achievements. It is time to summarize the basic theories of Chinese socialist market economy and bring innovations.After twenty years of development, Futures markets, as something of foreign origin, play a positive role in China economy. Hence, reconstructing the functional model of the futures markets and building a robust economic system with Chinese character are conducive to the combination of futures markets and entity economy as well as better service of economy development.This thesis mainly employs empirical and comparative approaches, discussing the functions of futures markets, describing the phenomena in these markets, explaining relative behaviors, expounding on internal and external causes, and searching feasible solutions. This work intentionally avoids abstract theoretical study. By placing emphasis on comparison with different stages in developed futures markets, it identifies the current characteristics of our domestic futures markets.This thesis, borrowing lessons from game theory and behavior economics, explores the generation mechanism of equilibrium price under uncertainty and the possibility of reaching the Pareto optimum. Analyzing the generation of equilibrium price and corresponding external conditions from game theory makes this work pleasant to read and easy to be understood.In several chapters, the author employs an approach that combines mathematical equations and geographic figures. Four quadrant analyses are applied to futures markets and a functional relation between input factors and outputs is established. The author improves the explaining capacity of the models by exercising the most advanced measuring method, co integration test. And by this means the stability and robustness of the models are enhanced.It is necessary to combine history experience and logic reasoning, to value both quantitative and qualitative analysis, to find both linear and nonlinear relation, and to practice normal study as well as empirical study.Chapter one reviews works that concern themselves with studying functions of domestic and foreign futures markets. It sums up and discusses representative theories from seven aspects such as function and duty of futures markets.Chapter two, using an international perspective, borrowing lessons from evolving paths and functions of American, British, and Asian futures markets, carries on an empirical study on futures markets function during 1929 economic crisis, 1987 financial crisis, 1997 southeastern Asian financial crisis and 2008 financial crisis. It proposes an original idea of reverse relationship between inductive sequence and resulting sequence.Chapter three begins with a review on theoretical and practical preparations of the introduction of futures markets in our country, which experts on futures can skip. The second part in this chapter conducts a creative analysis on the different evolving paths of domestic and foreign futures markets. It points out that domestic path is marked by“theory first, learning from mistakes”. The reason is that Chinese futures markets are based on a situation of“small enterprises, weak markets”of economic transition period rather than a relative developed commodities markets. It also points out the core function of futures markets is risk management and proposes an operation advice for monitor agencies, which is zero intervention of the price fluctuation and zero toleration toward violation of the market codes. The third part of this chapter analyzes the relations between futures markets and capital markets as well as insurance markets in great details. It concludes that futures markets development is the same as insurance markets. Hence theories on futures should root in insurance and futures markets are practice of insurance risk management theories. In this part, the relations between banks, capital markets, insurance markets, and futures markets are presented using a four quadrant illustration.Chapter four starts its research on futures market from the theories put forward by behavior economics. By this means, it evaluates the effects of physiological states of participants on the formation of the price in futures markets. Meanwhile, on the basis of Marxist political economics, it corrects some misunderstanding about futures markets. In this chapter, the author divides the development of futures markets into four stages and creatively forms a four-stage model for domestic futures markets.Chapter five considers how to further improve the function of our domestic futures markets from aspects of management mode changing, participants optimizing, scale effect, efficient factors, and benefit structures. Particularly, benefit structures are a rarely touched field in futures study. The author, drawing lessons from his own years of practice in futures markets, suggests that a healthy future markets need a fair benefit distribution between futures exchanges and futures corporations. A sell-side market with fine benefit structures will serve our economic development well.Chapter six, analyzing from a macro scale, puts forth that our emerging futures markets can make related industries operate more efficiently and more stably, can be leading index for economy, and can be ground for macro regulation and monetary policy making. The main conclusion is that mature futures markets are public products, which have strong positive externalities, just as education and environmental protection. Therefore policymakers should support the development of futures markets.Chapter seven is focused on how to expand the function of our futures markets under an opening condition. In the international trade, our relative advantages can not last forever. We need to think as a grand nation and compete for the saying right and pricing right in international bulk commodity markets. We should have some control over the structure of world economy by soft power coming from exerting effects on the bulk commodity prices. This is an everlasting strategic issue during peace times.Chapter eight proposes five policy suggestions on how to further improve the function of our domestic futures markets, which are as following: institute an administrative committee of derivatives; ease the burdens of futures markets; encourage more enterprises to take risk management through futures markets, to transform economic development mode, and to enhance core competence; lower transaction cost of futures markets by great measures; boost trials of options on agricultural commodities. In this chapter, a strategy on how to compete for pricing right is designed by the author. Finally, this chapter puts forward three feasible steps for opening up of domestic futures markets.Admittedly, the work is constrained by the author’s knowledge and ability. It doesn’t quit grasp the whole picture of the dynamics of futures markets. However, it can serve the purpose of attracting more attention and more research on related subjects.更多还原