The untold story of commodity futures in China

We investigate the behavior of commodity futures risk premia in China. In the presence of retail-dominance and barriers-to-entry, the term structure and momentum premia remain persistent, whereas hedging pressure, skewness, volatility, and liquidity premia are distorted by time-varying margins and strict position limits. Furthermore, open interest, currency, and inflation premia are sensitive to institutional settings. The observed premia cannot be attributed to common risks, sentiment, transactions costs, or data-snooping, but are related to liquidity, anchoring, and regulation-induced limits-to-arbitrage. We highlight the distinctive features of Chinese futures markets and assess the challenges posed to theories of commodity risk premia.     

The effect of oil price shocks on asset markets: Evidence from oil inventory news

We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Across most sectors, equity prices decrease in response to higher oil prices before the 2007/2008 crisis but increase after it. Positive oil price shocks cause a depreciation of the U.S. dollar against a broad range of currencies but have only a modest effect on bond futures returns. The evidence suggests that changes in risk premia help to explain the time-varying effect of oil price shocks on U.S. equity returns.     

Bid and ask prices of index put options: Which predicts the underlying stock returns?

In this study, we separately estimate the implied volatility from the bid and ask prices of deep out-of-the-money put options on the S&P500 index. We find that the implied volatility of ask prices has stronger predictive power for stock returns than does the implied volatility of bid prices. We identify two sources of the better performance of the ask price implied volatility: one is its stronger predictive power during economic recessions and in the presence of increasing intermediary capital risk, and the other is its richer information about the future market variance risk premium.     

Duration of price promotion and product profit: An in-depth study based on point-of-sale data

Anecdotal evidence has shown that retail price promotions can help small and medium-sized retailers enhance their sales, and thus profits. However, most marketing managers usually stop a promotion after a certain duration. This study aims to explain why these retailers discontinue their price promotion. Our approach posits that overall contributions of a price promotion to the product profit progressively diminish with time. In this study, we present a theoretical framework to explain the relationship between duration and profit effects of price promotion and propose statistical models to empirically examine this framework using point-of-sale (POS) data. Our findings provide empirical support that the effect of price promotion on the product profit has a downward trend with elapsed time. The results are helpful for marketers to understand how price promotions dynamically influence product profit and when the promotion should be terminated.     

林权流转价格及其影响因素分析

以林农拥有的活立木为研究对象,利用2007—2017年浙江省1546宗活立木流转样本,采用多元线性回归实证分析了是否在林权交易中心交易对活立木流转价格存在影响。结果表明:关键解释变量是否在林权交易中心进行交易对活立木流转价格具有显著的正向影响;流转面积、单位面积蓄积、区域虚拟变量、坡度等对流转价格都产生一定程度的影响;流转期限对流转价格的影响不大。因此,需要加强对林权交易中心的宣传,降低相关的交易成本,从而吸引更多的小规模林农参与交易。     

Many a little makes a mickle: Why do consumers negatively react to sequential price disclosure?

Drip pricing (DP) is distinct from partitioned pricing as it sequentially discloses surcharges to consumers. Critics see DP as a deceptive pricing tactic because it obscures the final price of an offer. We examine the effects of the timing of the final price disclosure and the number of sequentially presented surcharges on consumers' attention to the final price and, ultimately, perceived price fairness. In an eye‐tracking study with 225 participants, we find that the sequential (vs. up‐front) disclosure of the final price lowers perceived price fairness by increasing consumers' attention to the final price, in particular, when the number of surcharges is high. In addition, the sequential disclosure of the final price lowers perceived price fairness because of higher perceived price complexity and lower pricing transparency perceptions. The findings suggest that firms need to be aware of both attentional and cognitive effects of the final price disclosure when designing DP.     

价格支持政策对我国不同粮食作物播种面积变化的影响差异

［目的］文章评估了价格支持政策对不同粮食作物播种面积变化的平均效应与动态效应，并测度多种价格支持政策的交叉政策弹性。［方法］基于1998—2016年实施粮食价格支持政策省份面板数据，设立对照组，利用倾向得分匹配—双重差分方法（PSM DID）评估价格支持政策平均效应与动态效应，并构建粮食作物供给反应（Nerlove）模型测度价格支持政策的交叉政策弹性。［结果］（1）价格支持政策对水稻、小麦、玉米播种面积增加具有不同程度的推动作用，按大小依次为玉米>水稻>小麦，对大豆播种面积变化影响不显著； （2）价格支持政策持续时间越长，对水稻、玉米播种面积增加的推动作用越大，对小麦播种面积增加的推动作用较为稳定； （3）小麦、玉米播种面积变化主要来自自身价格支持政策，水稻播种面积变化除了受到自身价格支持政策影响外，还受到其他作物政策影响，大豆播种面积变化对玉米临储政策反应敏感，对自身价格支持政策反应不敏感。［结论］在制定粮食政策时既要区分政策及其持续性对不同粮食播种面积变化的影响差异，又要注意在同一地区实施多种粮食政策时，可能对不同作物产生交叉影响。     

Nudging farmers in crop choice using price information: Evidence from Ethiopian Commodity Exchange

The lack of reference price information is often regarded as one of the most pervasive aspects of incomplete commodity markets in developing countries. Previous studies on the effects of price information emphasize the market participation and performance of rural households. This paper argues that access to reference price information influences farmers’ crop choice decisions, the most important decision in farming activity. The study exploits the variation in timing and spatial distance of the publicly run Ethiopian Commodity Exchange (ECX) price tickers as an indicator for variation in the intensity of access to reference price information among rural villages in Ethiopia. The paper finds that access to price information increases the average farm-gate prices for traded commodities and incentivizes farmers to allocate more land, fertilizer and improved seeds to commodities traded in the ECX. It also nudges farmers to produce more of the traded commodities, increasing the output share of ECX-traded commodities.     

新冠肺炎疫情对线上商品价格变化的影响

文章运用电商高频价格大数据，分析了新冠肺炎疫情对商品价格变化的影响。研究发现：根据公平定价理论，在突发疫情下商家会加入消费者情绪制定价格策略，商品价格经过调整后趋于稳定；并且，商品价格表现出较低的价格黏性，对称的交错调价使得新冠肺炎疫情对商品价格的冲击有限。因此，政府部门可利用线上商品价格编制大数据物价指标，及时反映市场供求变化，促进资源优化配置，为宏观政策制定提供依据；同时，加快推进消费数字化转型，优化线上交易环境，建立预警机制来应对突发情况。     

化肥价格变化对粮食价格的影响研究--基于省际动态面板数据模型的系统GMM检验

基于我国粮食价格与化肥价格变动趋势的分析,运用2006年~2017年省际动态面板数据模型和系统GMM方法,实证检验了化肥价格变动对粮食价格的影响。结果表明:化肥价格变动对粮食价格存在显著的正向影响,在考虑化肥价格影响下,农业生产服务、种子等农资价格对粮食价格也存在显著的正向影响,机械化农具和农药价格对粮食价格不显著,"价补分离"政策对粮食价格存在显著负向影响。因此,在化肥减量行动背景下,适度调控化肥价格,避免化肥价格上升挤占粮农利润,大力发展农业生产性服务业和种子业,继续实行"价补分离"政策,提高补贴精准性,减少农民投入成本。