Taken the soybean and the hard wheat in two commodity exchanges,the dynamic relationship between the prices of the spot and futures was studied and the role of the future market in price discovery was quantitatively disclosed,using VAR model,cointegration test,error correction model,variance decomposition methods and impulse responses function etc.It showed that there was a mutual guidance and long-term equilibrium relationship between spot and futures prices.As to soybean,futures market was in the lead in price discovery.Spot market exerted an important effect on the price discovery of the hard wheat.