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Econometric study on import, storage and futures markets of field crops

大田作物进口、仓储及期货市场的计量经济学研究

基本信息

批准号：
09660231
负责人：
ITO Shigeru
金额：
$ 2.05万
依托单位：
Obihiro University of Agriculture and Veterinary Medicine
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 1999
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-09660231/
关键词：
nearby price deferred price import price spot price speculation storage price formation efficiency of futures market 投機的行動供給過剰商品先物市場効率性分析季節効果

项目摘要

In this study, the relationships between futures and spot markets, the efficiency and the price formation of futures market have been analyzed. A U.S. Soybean futures market on the Tokyo Gram Exchange(TGE) is strongly affected by the CBOT prices which are determined by storage and production conditions. But, on the TGE, the prices of nearby month are deferent from the deferred month prices, which are influenced by the CBOT prices. This is due to speculative behaviors of traders in nearby month. The prices of nearby month on the TGE have a stronger impact to the spot, market of the IOM soybean than the import pricesAn efficient market hypothesis of a U.S. Soybean futures market on the TGE was tested using a no-arbitrage asset pricing hypothesis as well as a so-called unbiasedness hypothesis. A cointegration technique was employed for empirical analyses. The results shown that the prices of nearby contracts had long run equilibrium relations with spot prices, or spot prices and risk-free interest rates. On the second and third nearby contract, prices were appeared to be decided under the no-arbitrage asset pricing hypothesis.Price formation of the corn futures market in USA and Japan is as follows. First, the stock of corn affects strongly nearby price of corn of CBOT, and on the months when the production of corn is not definite, a production forecast, influences it. Second, the nearby price of corn of CBOT, exchange, rate, and freight are very important factors of price formation of nearby price of corn in the TGE and Kanmon Commodity Exchange.

本文分析了期货市场与现货市场的关系、期货市场的效率和期货市场的价格形成。东京克交易所（TGE）的美国大豆期货市场受到CBOT价格的强烈影响，CBOT价格由储存和生产条件决定。但是，在TGE上，近月的价格与延迟月的价格是不同的，这受到CBOT价格的影响。这是由于近月交易员的投机行为。15 TGE近月价格对IOM大豆现货市场的影响大于进口价格对IOM大豆现货市场的影响。本文运用无套利资产定价假说和无偏性假说对美国TGE大豆期货市场的有效市场假说进行了检验。实证分析采用协整技术。结果表明，附近合约的价格与现货价格或现货价格与无风险利率之间存在长期均衡关系。在第二和第三个临近合约上，价格似乎是在无套利资产定价假设下决定的。第一，玉米库存量对CBOT玉米的近期价格影响很大，在玉米产量不确定的月份，产量预测也会影响玉米的近期价格;第二，CBOT玉米的近期价格、汇率、运费是TGE和Kanmon商品交易所玉米近期价格形成的重要因素。