Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets
Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets
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战前日本大米期货市场的市场效率和政府干预
DOI：
10.1017/s0968565017000014
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发表时间：
2016
影响因子：
0.7
通讯作者：
A.
中科院分区：
文献类型：
--
作者：
Ito;M.;Maeda;K.;and Noda;A.
这项研究分析了战前日本殖民大米贸易对大米市场的影响，考虑了政府对东京和大阪两个大米期货交易所的几次干预。我们使用两个程序来探讨对期货市场的干预。首先，我们使用时变向量自回归模型来度量市场的联合效率程度。其次，我们考察可能影响市场的历史事件，并一次只关注一个事件。在我们的样本期间(1881-1932)，效率的程度随着时间的推移而变化。通过观察，结合历史分析，得出以下结论：(1)东京和大阪两个主要市场几乎是有效的；(2)涉及台湾和韩国进口大米交割的政府干预往往会降低期货市场效率；(3)只要进口大米和国内大米之间存在质量差异，这种关系就会持续。促进殖民商品在国内分配的政府干预导致商品市场混乱，并降低了大都市市场的效率。
This study analyzes how the colonial rice trade in prewar Japan affected its rice market, considering several government interventions in the two rice futures exchanges in Tokyo and Osaka. We explore the interventions in the futures markets using two procedures. First, we measure the joint degree of efficiency in the markets using a time-varying vector autoregression model. Second, we examine historical events that possibly affected the markets and focus on one event at a time. The degree of efficiency varies over time within our sample period (1881-1932). The observation, together with historical analysis, leads to the following conclusions: (1) the two major markets in Tokyo and Osaka were nearly efficient; (2) government interventions involving the delivery of imported rice from Taiwan and Korea often reduced futures market efficiency; finally, (3) this relationship continued as long as the quality difference between imported and domestic rice existed. The government interventions that promoted domestic distributions of the colonial goods resulted in confusion in the commodity markets, and decreased efficiency of the markets in the metropole.