The empirical research of Chinese agricultural policy effects on commodity price volatility of spot and futures markets

Since 2006, the Chinese government has implemented the significant historic policy of exempting agricultural taxes comprehensively. The ARMA(k,s)-GARCH(p,q)-GED model is established in this paper, for empirical study on comprehensively exempting agricultural taxes policy effects on the price volatility of wheat, soybean, corn spot and futures markets. The results show that under the action of comprehensively exempting agricultural taxes and minimum purchase price policy in the country, spot market prices of agricultural commodities remained relatively stable, the expected objectives of Chinese agricultural policy is achieved appropriately; and Chinese agricultural commodity futures market prices swing mostly along with fluctuation of the prices of international agricultural commodity futures markets.