A cointegrated commodity pricing model

We propose a commodity pricing model that extends the Gibson–Schwartz two‐factor model to incorporate the effect of linear relations among commodity spot prices, and provide a condition under which such linear relations represent cointegration. We derive futures and call option prices for the proposed model, and indicate that, unlike in Duan and Pliska (2004), the linear relations among commodity prices should affect commodity derivative prices, even when the volatilities of commodity returns are constant. Using crude oil and heating oil market data, we estimate the model and apply the results to the hedging of long‐term futures using short‐term ones.     

Return predictability of variance differences: A fractionally cointegrated approach

This paper examines the fractional cointegration between downside (upside) components of realized and implied variances. A positive association is found between the strength of their cofractional relation and the return predictability of their differences. That association is established via the common long-memory component of the variances that are fractionally cointegrated, which represents the volatility-of-volatility factor that determines the variance premium. Our results indicate that market fears play a critical role not only in driving the long-run equilibrium relationship between implied-realized variances but also in understanding the return predictability. A simulation study further verifies these claims.     

Multivariate realized volatility forecasts of agricultural commodity futures

We forecast the multivariate realized volatility of agricultural commodity futures by constructing multivariate heterogeneous autoregressive (MHAR) models with flexible heteroscedastic error structures that allow for non-Gaussian distribution, stochastic volatility, and heteroscedastic and serial dependence. We evaluate the forecast performances of various models based on both statistical and economic criteria. The in-sample and out-of-sample results suggest that the proposed MHAR models allowing for flexible heteroscedastic covariance structures outperform the benchmark MHAR models. In addition, the proposed Bayesian MHAR models allowing for t innovations improve both in-sample and out-of-sample forecast performance of the corresponding MHAR models with Gaussian innovations.     

External Linkages and Economic Growth in Colombia: Insights from a Bayesian VAR Model

This paper investigates the sensitivity of Colombian GDP growth to the surrounding macroeconomic environment. We estimate a Bayesian VAR model with informative steady‐state priors for the Colombian economy using quarterly data from 1995 to 2007. A variance decomposition shows that world GDP growth and government spending are the most important factors, explaining roughly 17 and 16 per cent of the variance in Colombian GDP growth respectively. The model, which is shown to forecast well out‐of‐sample, can also be used to analyse alternative scenarios. Generating both endogenous and conditional forecasts, we show that the impact on Colombian GDP growth of a substantial downturn in world GDP growth would be non‐negligible but that the decline still would be mild by historical standards.     

Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market

This paper examines a wide variety of models that allow for complex and discontinuous periodic variation in conditional volatility. The value of these models (including augmented versions of existing models) is demonstrated with an application to high frequency commodity futures return data. Their use is necessary, in this context, because commodity futures returns exhibit discontinuous intraday and interday periodicities in conditional volatility. The former of these effects is well documented for various asset returns; however, the latter is unique amongst commodity futures returns, where contract delivery and climate are driving forces. Using six years of high‐frequency cocoa futures data, the results show that these characteristics of conditional return volatility are most adequately captured by a spline‐version of the periodic generalized autoregressive conditional heteroscedastic (PGARCH) model. This model also provides superior forecasts of future return volatility that are robust to variation in the loss function assumed by the user, and are shown to be beneficial to users of Value‐at‐Risk (VaR) models. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:805–834, 2004     

解读商检法修正案

今年4月28日,全国九届人大第27次会议审议并通过了《商检法》修正案。该修正案将于今年10月1日起正式实施。这是我国入世之后全国人大常委会审议通过的第一部法律修正案。根据 WTO 规则和我国入世承诺,修正案对现行《商检法》做了哪些修改?答:主要从六个方面进行了修改:一是关于法定检验的目的及范围(即制定、调整法检目录的原则)。根据 TBT 协定第2条的规定,将实施法检的目的由"根据对外贸     

我国货币供应量与经济增长的动态相关性实证研究——基于VAR模型的脉冲响应函数分析

货币供应量与经济增长之间的关系,是当前理论界密切关注的重大经济问题.本文根据1978-2008年31年的数据,基于VAR模型,通过协整分析、格兰杰因果性检验、脉冲响应函数分析了二者之间的动态关系,得出了货币在短期内非中性、货币政策存在时滞等重要结论.     

试论商品拜物教的研究对象

商品拜物教的研究对象是社会生产关系还是社会意识,这是我国理论界长期以来没有解决好的基础理论难题之一.从<资本论>的整体研究思想来看,商品拜物教的研究对象就是揭示商品生产的社会生产关系,特别是揭示资本主义商品生产的社会生产关系,揭示在这种经济形式下社会生产关系借以实现或表现的形式.     

Macroeconomic forecasts under the prism of error-correction models

When the error correction term exhibits persistence, its change may convey useful information about short-run economic dynamics which, if not taken sufficiently into account by a forecasting model, may be associated with predictable forecast errors. Such errors are documented in the DRI forecasts for the U.S. consumption, GNP and imports. The strong results, together with the very general assumptions behind the conceptual framework, suggest that similar predictable errors may be pervasive in the forecasts of other large-scale econometric models.     

Assessment of model uncertainty in destinations and travel forecasts of models of complex spatial shopping behaviour

This paper reports the results of an analysis of model uncertainty in the context of shopping behaviour. This analysis is positioned in a discussion on the evolution of models of spatial shopping behaviour. For different generations of shopping models, the potential of uncertainty analysis is discussed. The actual analysis is based on an application of the Albatross model to the city of Rotterdam, The Netherlands. Characteristic of this model is that shopping trips are embedded in the prediction of daily more comprehensive activity-travel patterns, adding complexity and realism to traditional models of spatial shopping behaviour, such as the Huff and spatial interaction model. Results show that overall the uncertainty associated with the aggregate outcomes of the model is small. It is higher for the total number of visits to selected shopping areas.     

FDI、出口贸易与经济增长的关系——基于VAR模型的实证研究

在开放经济条件下,外商直接投资（FDI）、出口贸易和经济增长的关系一直是国内外学者研究的热点。运用向量自回归（VAR）模型、脉冲响应函数、方差分解等计量经济学方法,采用1997年至2013年的所有季度数据,对FDI、出口贸易与经济增长的关系进行了实证研究,得出外商直接投资、出口贸易对我国经济增长具有显著的促进作用的结论,因此,今后我国应进一步加强对FDI的产业导向,积极优化外贸环境、改善外贸结构以引进外商直接投资。     

基于VAR模型的人力资本与我国服务贸易关系实证研究

本文从人力资本角度出发,运用协整和VAR模型分析人力资本与我国服务贸易出口的关系.结果表明人力资本是服务贸易出口增长的Granger原因,它们之间存在长期均衡关系;脉冲响应分析揭示人力资本对服务出口额有稳定持续的正的产出弹性,方差分解表明人力资本对服务出口的贡献较大,占40%多最后,文章就增加人力资本积累和促进服务贸易发展提出了建议.     

A risk-based explanation of return patterns—Evidence from the Polish stock market

Using both sorting and cross-sectional tests, this paper investigates the patterns in the average stock returns related to stock fundamentals, past return performance, idiosyncratic risk, and turnover in the Polish equity market for the period 2002–2011. To examine the persistence of the patterns, we apply the Monotonic Relation test of Patton and Timmermann (2010). The results favour the book-to-market ratio as a determinant of the cross-sectional variation of stock returns while momentum remains insignificant. The Fama and French (1993) three-factor model, which uses local size and value risk premiums adjusted for the skewed size distribution of the sample, captures most of the recognised anomalies. Further, we show that Polish domestic SMB and HML factors are not correlated with their U.S. and German counterparts.     

Effects of the state trade countries upon the commodity markets

This article proves that a good deal is to be said for an abandonment by the state trade countries of their financial abstention and for their active financial participation in the Integrated Programme for Commodities. At UNCTAD IV in Nairobi the Third World nations first presented their requests to the state trade countries, in an unmistakable manner, for more extensive development-policy contributions.