长期协议、价格指数和铁矿石定价研究

在长期协议市场和现货市场并存的条件下,当市场存在不确定性和信息不对称时,可以减小随机交易波动,这不仅有利于保持长期协议供给方的领先优势,还能有效降低市场的均衡价格。在我国进口铁矿石定价体系中,国外厂商铁矿石价格指数和中国铁矿石价格指数存在差异和共同点,因此,只有建立运行高效的铁矿石市场交易机制,我国才能获得国际铁矿石定价权。     

基于随机贴现因子的人民币与新台币汇率定价

基于随机贴现因子定价理论,采用无套利定价法,推导出人民币与新台币的即期汇率与随机贴现因子、远期汇率之间的关系,并利用人民币和新台币的无本金交割远期外汇作为远期汇率,对人民币与新台币的即期汇率进行定价。实证研究结果显示,人民币与新台币的汇率主要受中国大陆地区和台湾地区的股票市场和债券市场波动的影响。用本文模型定价模拟的即期汇率与真实汇率的变动趋势较为一致,这表明本文模型可为人民币与新台币之间的双向直接兑换提供依据,进而有助于建立两岸货币清算机制。     

Market Power and Marketisation: Japan and China's Impact on the Iron Ore Market, 50 Years Apart

ABSTRACT

How can we explain the marketisation of the iron ore market following the emergence of China, whereas the same market had seen change in the opposite direction following the emergence of Japan, 50 years earlier? I argue that relative coordination capacity – or relative market power – between domestic and international stakeholders explains market change at the global level. Via the study of Japan and China's impact on the iron ore pricing and shipping regimes, I show that China's rise led to the marketisation (liberalisation and financialisation) of the iron ore market pricing regime, and the demarketisation of the shipping regime, whereas Japan's rise led to demarketisation in both cases. This article's argument illustrates that China's impact is not equal across markets, contrary to characterisations of China as either a revisionist or status quo power. Second, it argues that China has caused the marketisation of the iron ore pricing regime, which is contrary to expectations on both sides of the debate on China's rise: China was unable to dictate outcomes via a strong state, nor did it seamlessly integrate the global economy. Third, it illustrates the importance of resonance dynamics at the interface of domestic and global market institutions.     

异质信念、投机均衡与农产品期货定价*

农产品期货市场套利并不充分,交易者也不是完全理性的。本文假设农产品期货市场有限套利、交易者异质信念并遵循“经验法则”预期,构建了农产品期货投机均衡定价模型,并认为集中竞价规则下产生的农产品期货价格是由交易者的预期决定的;前期期货价格水平、现货价格和前期期货价格的变动趋势、不同类型交易者的比例结构及其预期模式共同影响农产品期货价格的形成与波动;基本分析法交易者占主导地位的农产品期货市场具有更高的套期保值与价格发现效率。针对中国七种主要农产品期货的实证结果显示,农产品期货投机均衡定价模型对解释中国农产品期货价格的形成与波动是有效的。这意味着在期货行情系统中实时披露现货价格信息,培育和引导交易者运用基本分析法预测期货价格走势,有助于提升农产品期货市场的效率。     

An asymptotic property of equilibrium on futures markets arising from speculation

This paper presents an asymptotic property of a joint spot-futures market equilibrium established in Cheng-Magill (1982). As speculators diversity over a large number of markets, the equilibrium risk premium converges to an asymptotic premium, the behaviour of which depends solely on the stochastic dependence between the spot price and an index of average returns on other markets. Risk arising from the variability of the spot price itself is diversified away. The results are related to the arbitrage pricing theory of Ross (1976).     

沪铜期货市场价格发现的动态贡献——基于状态空间模型的实证研究

商品期货价格与现货价格的相互关系一直是学术界研究的热点,但大都基于静态的模型。本文从期货定价的持有成本理论出发,通过误差修正方程构建状态空间模型,利用卡尔曼滤波算法从动态的角度研究了2004-2012年期间我国沪铜期货市场价格发现的贡献。实证结果显示:2004-2012年,我国沪铜期货市场价格发现的贡献随着时间的变化而变化。2004-2008年逐步增强;2008年金融危机后,逐步下滑,到2010年,落后于现货市场;之后又有回升趋势。总体来看,沪铜期货市场在价格发现中处于主导地位,但具有明显的波动性。     

利率互换的定价模型及其实证研究

本文研究利率互换的定价模型，以及利率互换的定价过程。从选取债券到拟合理论即期利率曲线、远期利率曲线，最后拟合出互换利率曲线，并对上述的定价模型和过程进行实证研究。对拟合结果与目前市场报价的相同点和差异进行分析，并对国内利率互换的套期保值策略进行实证研究。     

异质信念资产定价研究

从随机游走、行为金融到混沌，从现代资产定价理论、行为资产定价理论到异质信念资产定价理论，3种学说和3种定价理论同时存在干当今资本市场的研究中，它们分别从不同方面、不同视角解释了资产价格的波动。本文的研究理清了3种重要定价理论之间的关系：理性与有限理性，线性与非线性，价格波动的外在机制与内在机制，为人们进一步研究资产定价理论提供了清晰的脉络。     

中国黄金期货与黄金现货价格的实证分析

意旨探索中国黄金现货价格对黄金期货价格形成的作用机制。借助ADL模型和共同因子贡献法进行实证分析,研究了中国黄金期货价格与黄金现货价格的关系。研究表明,中国黄金期货价格与现货价格长期趋势是一致的,但是短期存在比较大的偏差,同时中国黄金期货和现货价格波动率序列之间有较高的依存度。由此中国黄金期货市场已具备一定规避风险的功能。     

中国股指期货具有价格发现功能吗?

为检验中国资本市场股指期货是否具有价格发现功能,本文在对股指期货与现货指数间的理论关系进行深入阐述的基础上,分别根据所建立的向量自回归模型参数估计结果以及脉冲响应函数,分析股指期货与现货指数两者间的领先—滞后关系。基于理论分析框架进行实证检验,结果发现:中国股指期货具有价格发现功能,但现阶段这一功能并不强;当股票市场处于下跌态势时,股指期货的价格发现功能要稍强于股票市场呈现上升态势时的情形。同时,当股票市场处于下跌态势时,季月合约的价格发现功能要强于近月合约的价格发现功能,而股票市场处于上升态势时,近月合约与季月合约的价格发现功能并没有呈现出明显差异。     

Pricing and capacity provision in electricity markets: an experimental study

The creation of adequate investment incentives has been of great concern in the restructuring of the electricity sector. However, to achieve this, regulators have applied different market designs across countries and regions. In this paper we employ laboratory methods to explore the relationship between market design, capacity provision and pricing in electricity markets. Subjects act as firms, choosing their generation capacity and competing in uniform price auction markets. We compare three regulatory designs: (1) a baseline price cap system that restricts scarcity rents, (2) a price spike regime that effectively lifts these restrictions, and (3) a capacity market that directly rewards the provision of capacity. Restricting price spikes leads to underinvestment. In line with the regulatory intention both alternative designs lead to sufficient investment albeit at the cost of higher energy prices during peak periods and substantial capacity payments in the capacity market regime. To some extent these results confirm theoretical expectations. However, we also find lower than predicted spot market prices as sellers compete relatively intensely in capacities and prices, and the capacity markets are less competitive than predicted.     

Evidence of price discovery on the Indonesian stock exchange

The Indonesian stock market is emerging and very little is known about price discovery mechanisms. This paper addresses this research gap by compiling and utilizing a unique stock-level dataset (consisting of 342 stocks) to examine existence and behaviour of price discovery processes. Using the Indonesian sectoral spot price index, and the Bloomberg Markit iTraxx Asia and the CDX high yield index, we test for price discovery. Our findings suggest that pricing behaviour on Indonesian stock exchange is contributed by the credit risk market. We also note that our findings are robust to a different measure of credit risk.     

基于我国成品油定价机制的石油双寡头行为分析

我国成品油定价实行最高零售限价已三年有余,价格管制在平抑国际油价冲击的同时也产生许多问题,管制效果备受争议,政府的补贴政策也饱受诟病.基于成品油最高零售限价,石油双寡头、寡头与政府之间的博弈行为表明:最高零售限价不能解决高油价问题,对形成成品油市场的竞争格局作用不大,而且政府在与石油寡头的博弈中处于弱势地位,针对国有石油企业的补贴政策将造成财政资金的浪费.我国成品油定价改革方向为市场定价,根本问题是尚未形成垄断竞争的市场格局.成品油定价改革应在培育垄断竞争格局的基础上,改革燃油税为从价计征、完善石油储备体系,为市场化定价改革铺平道路.     

市场结构、规模经济与中国铁矿石定价策略

铁矿石定价问题对中国经济的平稳增长有明显影响。本文尝试性地建构了一个引入贸易中介的生产-贸易-消费的三分法结构分析框架,来探讨国际铁矿石定价问题及中国策略。基于国家和企业的双层面三环节结构分析发现,高寡占的生产者结构对应于高竞争性的贸易中介结构和消费者结构是国际铁矿定价格局的结构成因,也是中国制定相关铁矿石贸易和产业政策的重要现实约束。基于生存能力法的规模经济测度发现,铁矿石贸易的规模经济区间为5％以下;铁矿石消费环节的规模经济区间为10％以下,导致了多种形式的铁矿石贸易中介组织共存的特征。论文还从生产-贸易-消费的产业定价策略分析方法出发,提出了中国可资利用的铁矿石定价策略。     

Pricing fx forwards in OTC markets – new evidence for the pricing mechanism when faced with counterparty risk

By using daily foreign exchange (fx) market data for five major currency pairs, this article shows that, especially since the beginning of the financial crisis, pricing of fx forwards has not matched the pricing formula derived from the covered interest rate parity (CIP). This corresponds to previous empirical results. Therefore, the CIP leads to systematic over- or underpricing. Overall, four statistically significant explanatory factors for this systematic over- or underpricing have been identified – the volatility in the difference between the interest rate levels, the spot price, the fx forward spread and the counterparty risk. In particular, the high significance of the counterparty risk demonstrates that pricing models for fx forwards should be reviewed.     

中美小麦期货价格与现货价格传递关系的比较研究

为研究我国小麦期货市场价格发现功能的发挥程度及此功能对现货市场价格的影响,本文运用Johansen协整检验、误差修正模型、脉冲响应函数和方差分解等对中美小麦期货与现货价格传递关系进行了实证研究。结果显示：中美两国国内小麦期货与现货价格之间均存在明显的双向引导关系和长期均衡关系;我国小麦期货价格和现货价格对一个标准差信息冲击的反应均稍强于美国;我国小麦期货市场价格发现功能的发挥程度要优于美国。     

Irrational exuberance in the Chinese iron ore market?

The rapid run-ups in the Chinese iron ore market in the first half of 2016 have sparked much concern about the appearance of speculative bubbles in this market among many market analysts. Using a recently developed bubble testing procedure, we confirm that there indeed existed periods of irrational exuberance in the Chinese iron ore market. However, most of the bubble periods are short-lived, reflecting the market’s ability to quickly respond to price deviations unjustified by fundamentals. The longest bubble period occurred in mid-2014, corresponding to a period of relatively low trading volume. Using a fractional probit model, we find evidence consistent with the hypothesis that market liquidity may play a role in bubble occurrences.     

A study of the relationships between the time charter and spot freight rates

A time charter contract is a shipping contract that allows for freight rate risk avoidance and hedging. Defining the relationship between time charter and spot freight rates will illuminate the fluctuation mechanism of the spot freight market. In this article, three types of dry bulk ships – Capsize, Panamax and Supramax – are chosen to investigate the relationship between time charter and spot freight rates and to analyse the price discovery function of time charter contracts. A vector error correction model is developed, and an impulse response function is used to analyse the influence of time charter rates on spot freight rates. Empirical studies indicate that there are two-way lead–lag relationships between the time charter and spot freight rates and that a time charter contract has a price discovery function. Smaller ship sizes and longer durations lead to a stronger price discovery function.     

Price discovery and volatility spillover in spot and futures markets: evidences from steel-related commodities in China

The price discovery and spillover effect are significant indicators in futures markets. This study examines the price discovery and spillover effects using vector error correction model and generalized autoregressive conditional heteroskedastic for seven types of steel products in Chinese spot and futures markets. The results show that the price discovery exists in all of steel futures market. It is also confirmed that futures prices in all items are mainly leading spot prices via permanent-transitory and information share. In the results of spillover effects, it is found that wire rod, coking coal, coke and silico-manganese have the effects between spot and futures market. In rebar market, there is the spillover effect from spot to futures. This information about futures prices can help the market participants to make decisions when they predict the spot prices.     

人民币在岸市场已经是一个 非完全定价中心*

本文的研究结果表明在岸市场依然具有人民币汇率定价中心的性质,主要体现在在岸即期和远期汇率都会对离岸远期汇率的变动有显著的均值溢出效应。而离岸即期市场对在岸即期市场存在较小幅度的均值溢出效应以及三大市场之间已经存在着一定波动和冲击溢出效应,则表明在岸市场已经不是一个完全定价中心。从溢出效应的程度和传递方向来看,稳定在岸人民币汇率定价预期仍然是降低汇率过度波动的关键。