Abstract: As the spot price of agricultural products has great influence on the futures price regardless of short term or long term, the degree and the mechanism of the futures price affected by spot price will be further explored and analyzed on the basis of assumption and VEC model, selecting the monthly data of the spot price of agricultural products to weigh the monthly data by the daily data of the futures market. To control other variables gradually in the model, the results show that historical data of spot price also affect the futures price obviously in the economic significance, but the spot price of a single agricultural product is inconsistent with the influence degree of the futures price, thus the paper found that some influence direction is opposite. From the point of single varieties of agricultural prices, the relevancy between the spot market and futures market is extremely high. For soybean, cotton, soybean meal and buckwheat, if spot prices rose 1%, futures prices rose 0.948%, 0.836%, 0.873% and 0.845% respectively. For wheat and soybeans, if spot prices rose 1%, futures prices rose nearly 1%. It could be further inferred that the variation of futures price will be affected directly by the spot price on the one hand and indirectly by the factors influencing the stock price movements on the other hand. The estimated coefficients of lending rates, M2, import and export values are significantly positive, which confirms that the futures price is directly influenced by the changes of the followings:the factors of supply and demand of agricultural products(production, imports and exports, the world total output, total world exports), monetary policy, money supply, interest rate and exchange rate. The spot price and the futures price have a linkage effect. Therefore, to guide the spot price moderately and classifiedly and to establish an early warning system for the single varieties of agricultural prices can stabilize the large fluctuations of agricultural products futures market, which is conducive to the healthy development of the futures market of agricultural product in China. At the same time, because the futures market possesses price discovery function, the stability of futures price also plays a guiding role for the spot price of the current agricultural products, consequently promoting the sound development of the spot market for agricultural products.

Key words: Spot prices of agricultural products, The futures price index, Influence mechanism, VEC model