The Role of Expectations in Commodity Futures Markets

预期在商品期货市场中的作用

• 批准号: 09630055
• 负责人: AKIBA Hiroya
• 金额: $ 0.26万
• 依托单位: Waseda University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 1997
• 资助国家: 日本
• 起止时间: 1997 至 1998
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-09630055/
• 关键词: Commodity Futures Market; Expectations; Cash price; Futures price; 商品先物

There exist a variety of commodity futures markets depending on the natures, characteristics, and the transaction customs of individual commodity. Thus, I would like to construct a a realistic, as well as a general model. In order to elucidate the role of expectations explicitly, I classified the participating entities in the commodity futures markets by their functions into (1)hedgers, (2)speculators, (3)holders of unhedged inventories, and (4)consumners. Next, I formulated the demand and the supply schedules of commodity futures by the former two entities. Furthermore, I tried to formulate unhedged inventories and consumption schedules in rather simple functional forms. I tried to formulate these schedules, except the consumption one, to emphasize the role of expectations, because they in general depend on the expected values of cash and futures prices in future, or the difference between the expected future cash price and the current futures price. I formulated them by linear approximation, because my primary purpose is to solve the model. Furthermore, by imposing two equilibriun conditions for the market for futures and inventories, I derived the the semi-reduced forms of equilibrium futures and cash prices under given price expectations. It was made clear that, within such a simplified model, the signs of coefficient of exogenous variables in the semi-reduced forms cannot be determined under some stringent assumptions. The route and the direction of the effects of expectations on the demand and the supply were, to some extent, made clear under still more stringent assumptions.It was made clear that, because both the cash and the futures prices are determined basically in a dynamic model, it may be necessary in the future to reformulate the model in a dynamic setting, and in that case, an optimization of an assumed utility function will be an appropriate analytical framework.

根据每种商品的性质、特点和交易习惯，存在着各种各样的商品期货市场。因此，我想构建一个既现实又通用的模型。为了明确地阐明预期的作用，我将商品期货市场的参与主体按其职能分为(1)套期保值者、(2)投机者、(3)未套期保值库存的持有者和(4)消费者。接下来，我制定了前两个实体对商品期货的需求和供应时间表。此外，我试图用相当简单的函数形式来制定未对冲的库存和消费时间表。我试图制定这些时间表，但消费时间表除外，以强调预期的作用，因为它们一般取决于未来现金和期货价格的预期价值，或预期未来现金价格与当前期货价格之间的差额。我用线性近似来表示它们，因为我的主要目的是求解模型。此外，通过对期货市场和库存市场施加两个均衡条件，得到了在给定价格预期下期货和现货市场均衡价格的半简化形式。研究表明，在这样一个简化的模型中，在某些严格的假设下，不能确定半简化形式的外生变量系数的符号。在更严格的假设下，在一定程度上明确了预期对需求和供给的影响的路径和方向，明确了由于现金和期货价格基本上都是在动态模型中确定的，因此未来可能需要在动态环境下重新表述模型，在这种情况下，假设的效用函数的优化将是一个合适的分析框架。