Mean Reversion in Agricultural Commodity Prices in India

This paper deals with the analysis of several commodity prices in India using an approach based on fractional integration and focusing on the degree of persistence of the series. We examine seven agricultural prices: rice, wheat, maize, bajra, jowar, black gram and arhar. The results can be summarized as follows: in five of the series examined (rice, wheat, maize, bajra and jowar) we find evidence of mean reversion with the effect of the shocks disappearing in the long run. On the contrary, in two of the series (black gram and arhar) we cannot reject the null of a unit root with the implication that shocks have a permanent nature. Thus, in the event of a negative shock, strong measures must be adopted in these two series since the effect of the shocks will persist forever.     

Commodity Prices and the Terms of Trade

On combining national terms-of-trade data for developing countries with world prices of internationally traded primary commodities, it is found that variation in the world prices of three or fewer key exported commodities account for 50% or more of the annual variation in the terms of trade of a typical developing country. A considerable fraction of the variation is specific to a particular commodity and, given that the overall importance of primary commodities differs across developing countries, it is possible to account for much of the heterogeneity across them. It is concluded that commodity price fluctuations should be central features of two related literatures: studies of business cycle transmission across developing and industrialized nations, and empirical work aimed at constructing perpetual claims on developing country incomes as suggested by Shiller in 1995.     

Primary Commodity Prices and the Terms of Trade*

This paper provides a survey of a range of issues involved in the analysis of primary commodity prices and the terms of trade. Particular emphasis is placed upon the long-run behaviour of the terms of trade between primary commodities and manufactures and the paper presents some new evidence regarding the long-run behaviour of Australia's terms of trade.     

农产品市场价格关系研究进展

从市场整合和市场边际两个方面评述了国内外农产品市场价格关系研究。首先介绍了空间分离市场均衡理论以及农产品市场价格关系研究的分析框架,然后评述了国内外市场整合和市场边际研究的进程,重点介绍了计量模型的发展与应用,指出供应链体系的市场整合和非对称性价格传递是现阶段的研究热点。最后提出要注意模型选择与数据可获得性等问题对研究结论的影响。     

中国农产品价格波动对CPI的影响分析

近期引起中国农产品价格上涨的诱因很多。通过2006年1月—2011年8月的月度数据检验金融危机前、危机期间和危机后农产品价格与居民消费物价指数的互动关系表明,三个阶段的二者关系变化显著,而且危机前后农产品价格对CPI的影响比危机期间更明显,这一结果反映出当前中国农产品品质不能适应消费者对农产品质量的需求。     

Influences of international factors on US Prices: a theoretical and empirical analysis

Employing an open-economy framework, the present article argues that international forces would have important implications for US price behaviour even prior to the 1970s when the US international sector was relatively small. A distributed-lag price equation that declineates between domestic and foreign impulses is derived. The model is estimated using quarterly data over the 1959–1979 period when international reserves as a measure of world liquidty were subject to relatively little noise. The study finds that growths of US import prices and exports positively affected US price inflation over the entire sample period but not during pre- 1971 period. On the other hand, while world liquidity, measured by worldwide international reserves, did not appear to influence US price for the whole period examined, its effect is found to be positive over the fixed-exchange-rate era. The mean lag of this foreign impulse is estimated at 6 quarters, 2 quarters larger than that of domestic liquidity as measured by M1. The findings then suggest inflationary implications ‘world liquidity’ for the US during the fixed-exchange-rate period but not under the managed-floating-rate system.     

货币流动性影响资产价格的理论探讨

货币流动性的变化趋势反映了宽松或者紧缩的货币环境. 货币流动性如何作用于资产价格不仅是货币政策执行者关心的问题,也是投资者关注的焦点.我国A股市场于2005年触底反弹,到2006年11月21日,上证综指已经突破2000点并屡创新高. 业内人士普遍认为货币流动性过剩是促成我国股市高企的原因之一. 本文侧重在理论上解释货币流动性的经济涵义,探索流动性变化趋势对股票等资产价格的作用机制,为机构投资者资产配置决策中的资产选择提供理论参考.     

美元、石油和金属价格——基于VAR模型的实证研究

近年来,美元贬值以及石油价格上涨一直被认为是造成有色金属价格上涨的两个可能的原因。在这一背景下,笔者采用VAR模型分析了美元价值和石油价格变化对我国铜、黄金、白银等金属价格的冲击影响,以及在此冲击下三种金属价格间的相互影响关系。结果表明:美元价值以及黄金和白银二者之间的相互影响关系在很大程度上决定了我国黄金和白银的价格行为;而美元、石油、黄金以及白银价格的变化对于我国铜金属价格的冲击尽管是显著的,但是四者均不是铜金属价格上涨的主要原因。     

西方国家实施TBT对我国商品出口的影响

新贸易保护主义抬头,西方国家纷纷实施TBT这一效果最显著的非关税壁垒措施限制其它国家尤其是发展中国家的产品出口,这严重阻碍了世界经贸的健康发展.TBT不但是目前我国千方百计扩大出口面临的重大挑战,而且由于经济发展水平低、出口商品结构和档次仍较为落后及国内没有建立自己有效、强有力的TBT体系等因素的影响,在我国积极发展对外经贸事业的今天,技术标准、包装和标签、商品检疫和检验以及环境壁垒等TBT具体措施已严重制约着我国机电、轻工、纺织品、食品土畜产品等出口商品的竞争力,阻碍我国对外经济贸易尤其是出口贸易的发展.     

中国股票市场和商品市场共振效应研究

文章选取股票市场和商品市场为代表性金融市场,通过价格共振和波动共振两个维度对金融市场系统性风险进行研究.用2008-2020年万得全A和南华商品指数代表股票市场和商品市场价格构成研究样本,通过计算两指数的年度相关系数,对引发金融市场价格共振的因素进行剖析总结;使用DCC-GARCH模型计算两指数的波动相关系数,研判2008-2020年间以股票市场和商品市场为代表的金融市场风险变化情况;用实际数据研究了重大事件发生后金融市场间波动共振程度的变化情况.研究表明:2014-2017年,在强监管和构建成熟资本市场的不断推进下,两市场间波动共振关系弱化;2018年后,重大事件影响下系统性风险水平上升,相关系数重回高位,波动共振再次加强.并提出对化解金融市场系统性风险的相关建议.     

基于美国遗产税的效应分析

目前中国的贫富差距不断扩大,而现行个人所得税和财产税并未有效发挥其调解财富分配的功能。因此,具有缓解贫富差距作用的遗产税开征与否成为社会各界关注的热点问题。本文通过对美国遗产税的经济效应进行分析,力图得出符合我国国情的开征遗产税的结论,并为关注遗产税的相关人士提供有价值的参考建议。     

中国农产品期货市场效率实证分析:1998-2002

本文旨在检验1998-2002年我国小麦和大豆期货市场效率并对农产品期货市场和现货市场做出相应评估.通过采纳Johansen协整检验方法,论文针对三种不同的现货价格以及预测跨度从1周到6个月不等的期货价格进行了正式统计检验.结果表明,我国大豆期货价格与现货价格之间存在长期均衡关系,大豆期货市场的短期效率相对较高.小麦期货市场缺乏效率,这可能应当归因于期货市场发展尚不成熟以及投机过度.     

Price Discovery and Efficiency of Indian Agricultural Commodity Futures Market: An Empirical Investigation

This study examines the price discovery process and relative efficiency of ten most liquid agricultural commodities’ futures contracts, traded on the largest agricultural commodity exchange of India (National Commodity and Derivative Exchange Limited). Three different common factor methodologies—component share method (Gonzalo and Granger in J Bus Econ Stat 13:27–35, 1995), information share method (Hasbrouck in J Financ 50:1175–1199, 1995), and modified information share method (Lien and Shrestha in J Futures Mark 29:377–395, 2009)—have been employed to determine the extent of price discovery contribution by spot and futures markets. The sample consists of daily data for the period from January 1, 2009 to October 20, 2015. Stationarity and Cointegration test results reveal that spot and futures prices are integrated and cointegrated for all commodities. The price discovery results show that the futures market leads the spot market in case of six commodities, i.e., castor seed, coriander, cottonseed oilcake, soy oil, sugarM and turmeric. Whereas, in the case of four commodities (chana (chickpea), guar seed, jeera, and mustard seed), price discovery takes place in the spot market. Therefore, it could be inferred that futures market is more efficient in price discovery of agricultural commodities. Policymakers could use these results to design futures contracts on other commodities or to plan concrete policies to curb speculation without hampering the efficiency of the agricultural commodity derivatives market.

     

河南省经济发展对房价的影响因素分析

研究经济发展与房价的关系,对促进房地产业与经济协调发展具有重要意义。运用SPSS19.0软件对指标间的相关性进行分析,然后采用Eviews6.0软件对河南省1998—2012年GDP对房价的影响进行分析。结果表明,GDP与房价之间存在长期的协整关系,当GDP增加1%时,房价上涨0.286488%。Granger因果关系检验说明房价和GDP之间存在着双向的因果关系。     

突发事件对农产品价格的影响及调控机制研究——以我国肉鸡行业为例

通过结构向量回归模型分析2001-2009年肉鸡产业链上中下游各个环节产品价格的月度数据,接着利用脉冲响应函数模型分析突发事件对肉鸡产业链价格体系传递的影响。研究表明:突发事件对肉鸡产业链价格波动水平的影响比较显著,但价格传递是不完全的,且对活鸡价格、肉雏鸡价格和饲料价格的传递程度逐渐降低。最后,提出了应对突发事件对农产品价格冲击的政策建议。     

农业保险制度对土地利用效应的经济学分析

本文通过建立农业生产局部均衡模型研究发现,农业保险制度的建立明显导致了粗放边际扩张,完全分开均衡精算公平农业保险制度不会对土地使用或其他任何生产决定造成影响.但是,在较现实的混同均衡精算公平农业保险制度下,农户将会把无农业保险时闲置的、边际质量更低劣的土地投入生产,而且农业保险补贴会进一步刺激农业生产在劣质土地上的粗放边际扩张并可能导致环境退化的问题.这对研究我国农业保险制度选择及其补贴政策对环境的影响具有一定的参考价值.     

新一轮农产品价格波动周期：特征、机理及影响

文章运用H-P滤波法,将1978-2006年的农产品价格波动分为了五个周期。2007年农产品价格上涨是第六个周期的开始。农产品价格波动各周期的整体特征和结构特征各不相同。另外,第六个周期农产品价格上涨主要是由国际价格的传导、生产成本的推动、加工需求的拉动、突发因素的扰动引起。此次农产品价格上涨不会导致通货膨胀;相反,通货膨胀会导致农产品价格上涨。     

美国农业合作社筹资经验及启示

资金短缺是制约我国农业专业合作组织发展的瓶颈因素。美国农业合作社筹资的经验对我国具有一定的启示。     

人民币汇率变动对我国农产品价格传递效应的实证分析

本文基于2005-2008年6月的月度数据,对人民币汇率变动对农产品价格的传递效应进行了实证分析。结果表明:人民币汇率升值将显著提高农产品价格水平;人民币汇率变动对农产品价格的传递效应具有由短期波动到长期均衡的自我修正的动态机制;给定一单位人民币实际汇率变动的冲击,该冲击对农产品价格呈现平稳的正向响应趋势。因此,为稳定农产品价格,应该采取有效措施使得人民币维持在基本均衡、合理的水平上。