山东工商学院硕士学位论文
摘要
2022年，中央一号文件提出要全面实施乡村振兴。中国是全球苹果生产、出口
和消费大国，苹果产业是乡村产业的典型代表。在苹果产业的发展史上，多次出现
自然灾害导致的苹果产量骤减，同时市场上又没有规范的价格引导，导致价格波动
剧烈，最终影响苹果产区农民的收入。为稳定苹果价格的变化，促进苹果产业的发
展，2017年 12月 22日我国苹果期货上市。苹果期货上市至今，五年以来其是否发
挥了服务实体经济的作用？苹果期货价格与现货价格之间关联性如何？不同产区是
否具有异质性？探讨这些问题的答案，对于深入了解我国苹果期货和现货的关系、
完善我国期货市场的功能、推进苹果产业发展、助推乡村振兴具有重要意义。
本文首先通过梳理以往文献以及苹果现货市场与期货市场的发展现状，进而探
究苹果期现货关联性以及突发事件下对关联性影响的作用机制，并提出相应的研究
假设。数据选取时，为保证期现货价格的匹配性，苹果期货数据选取与现货交易日
最邻近的期货合约结算价构成一组连续合约；为能综合反映我国整体苹果现货价格
和单一产区苹果现货价格的动态变化，选取产区苹果（红富士）产区价格指数以及
烟台苹果（一、二级红富士）价格指数为苹果现货价格序列。最后，通过构建时变
参向量自回归（TVP-VAR）模型，验证研究假设，并根据实证结果提出相关政策建
议。
实证结果表明：在苹果期现货市场价格间具有很强的时变关联性；不同产区与
期货市场的关联性具有地区差异性；外部事件冲击下，苹果期货市场价格对苹果现
货市场价格的影响减弱，苹果现货市场价格对期货市场价格的影响加强。基于理论
和实证结果，在本文结论与建议部分分别从果农与企业、政府部门和金融监管部门
提出苹果期现货市场发展的相应政策建议：果农与企业应积极利用期货市场套期保
值、稳定收益；政府部门应帮助提升产区影响力、预防冻灾风险以及帮助提高果农
的风险防范意识；金融监管部门应加强对苹果期货市场参与者的培训与教育、完善
苹果期货合约以及构建信息发布平台。
本文的创新点有以下两点：第一，分别从苹果期货价格对现货价格的影响、苹
果现货价格对期货价格的影响、不同产区异质性对两者关联性的影响、突发事件对
两者关联性的影响四个方面分析苹果期货价格与现货价格之间关联性的作用机制。
第二，根据期现货价格关联性的时变特征，构建了时变参向量自回归（TVP-VAR）
模型。
关键词：苹果期货；苹果现货；关联性；TVP-VAR模型
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Abstract
Abstract
In 2022, the No. 1 document of the Central Government proposed to fully implement
rural revitalization. China is the world's largest producer, exporter and consumer of apples,
and the apple industry is a typical representative of the rural industry. In the history of the
apple industry, there have been many times when apple production plummeted due to
natural disasters, while there was no standardized price guidance in the market, leading to
drastic price fluctuations, which eventually affected the income of farmers in
apple-producing areas. To stabilize the changes in apple prices and promote the
development of the apple industry, China's apple futures were listed on December 22,
2017. Since the listing of apple futures, has it played a role in serving the real economy in
the past five years? What is the correlation between apple futures prices and spot prices?
Is there heterogeneity across different production areas? Exploring the answers to these
questions is important for understanding the relationship between apple futures and spot in
China, improving the functions of China's futures market, promoting the development of
the apple industry, and contributing to the revitalization of the countryside.
This paper firstly compares the previous literature and the development status of
apple spot market and futures market, and then explores the correlation between apple
futures and spot and the mechanism of the impact of the correlation under unexpected
events, and proposes corresponding research hypotheses. In order to ensure the matching
of spot and futures prices, a set of continuous contracts was selected from the futures
contracts with the closest settlement price to the spot trading date. In order to reflect the
dynamic changes of apple spot prices in China as a whole and in a single production area,
the apple (red Fuji) production area price index and the Yantai apple (primary and
secondary red Fuji) price index were selected as the apple spot prices. sequence. Finally, a
time-varying parametric vector autoregressive (TVP-VAR) model is constructed to verify
the research hypotheses and propose relevant policy recommendations based on the
empirical results.
The empirical results show that: there is a strong time-varying correlation between
apple futures and spot market prices; the correlation between different production areas
and futures markets has regional differences; the impact of apple futures market prices on
apple spot market prices is weakened and the impact of apple spot market prices on
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