Futures Commitments and Commodity Price Jumps

We examine the relationship between the commitments of three of the largest groups of futures traders and the abnormal price movements in five agricultural commodities. The general evidence suggests that the commitments of futures traders have been increasing over time, whereas the frequency of price jumps have not. Regression results indicate a negative relationship between price jumps and the commitments of speculators and small traders. There is also evidence of a negative relationship between the number of speculators and cash market volatility, consistent with a host of speculation-based theories.     

Intertemporal Commodity Futures Hedging and the Production Decision

This paper deals with the producer's optimal use of commodity futures in hedging. The framework for analysis is an intertemporal consumption and investment model. The producer makes his production decisions at the beginning of the period and realizes his return at the end of the time interval. During the period, he faces both price and output uncertainties. In applying stochastic dynamic programming methods, this paper shows the effect of these risks on his consumption behavior. Further, the paper investigates his optimal hedging positions in the futures market over time and his optimal production decisions. Finally, implications of these results on the futures markets are discussed.     

Fractional Integration in Commodity Futures Returns

We reexamine commodity futures returns for evidence of fractional integration utilizing two estimators based on wavelets. We summarize basic wavelet methods for signal processing and decompose commodity futures returns by wavelet scale. We find the evidence for long memory is not conclusive based on visual inspection of the wavelet decomposition, but formal statistical tests suggest evidence of long memory, in the form of antipersistence, in about half of agricultural commodity futures. We find little evidence of long memory in metal futures. Our results are useful in interpreting previous disparate findings based on frequency domain estimators.     

商品期货合约定价问题研究

在终期效用最大化约束条件下,参与商品期货市场的标的商品的生产商、加工商和投机者等三类交易主体存在最优期货头寸持有量.通过联立证券、商品期货和现货三个市场,一个商品期货合约定价的两期静态模型得以确立.商品期货合约价格由资本市场系统风险溢价和非市场风险溢价两个部分构成,其绝对值与参与商品期货交易的投机者数量呈反比,投机者数量越多,商品期货合约价格的绝对值越小,表明商品期货交易风险越小,商品期货价格越平稳,价格发现功能越突出.     

An Anatomy of Commodity Futures Risk Premia

We identify two types of risk premia in commodity futures returns: spot premia related to the risk in the underlying commodity, and term premia related to changes in the basis. Sorting on forecasting variables such as the futures basis, return momentum, volatility, inflation, hedging pressure, and liquidity results in sizable spot premia between 5% and 14% per annum and term premia between 1% and 3% per annum. We show that a single factor, the high‐minus‐low portfolio from basis sorts, explains the cross‐section of spot premia. Two additional basis factors are needed to explain the term premia.     

商品期货投资收益问题研究

按照持有期货合约的部位,将商品期货交易者细分为：标的商品生产商、加工商和投机者。在满足终期效用最大化的条件下,通过联立商品期货、现货和证券市场,推导出一个商品期货投资收益模型,证明了商品期货投资收益由期货市场的系统性风险溢价和非系统性风险溢价两部分组成,并解释了“持有期成本套利”、“现货一期货溢价”和“资本资产定价”三种理论适用于确定商品期货投资收益的前提条件。根据国内商品期货市场与证券市场之间存在负相关性的实证结论,说明发展商品基金、减少证券一商品期货市场跨市场投资的交易成本等措施有利于我国资本市场的发展和完善。     

作为资产的商品期货研究

商品期货在国际市场被机构投资者称为"可选择的投资类别".国际商品期货市场吸引了对冲基金、养老基金等机构投资者的参与.本文在投资组合和资产配置理论框架下,以商品期货价格指数为基础探讨商品作为一种投资类别的特征和可行性.研究结果发现:商品期货指数具有不同于股票、债券的风险收益特性,机构资产组合中加入大宗商品能够提高投资组合的效果.     

Futures Trading Activity and Commodity Cash Price Volatility

Abstract:   This paper examines the lead‐lag relationship between futures trading activity (volume and open interest) and cash price volatility for major agricultural commodities. Granger causality tests and generalized forecast error variance decompositions show that an unexpected increase in futures trading volume unidirectionally causes an increase in cash price volatility for most commodities. Likewise, there is a weak causal feedback between open interest and cash price volatility. These findings are generally consistent with the destabilizing effect of futures trading on agricultural commodity markets.     

商品期货市场尾部相关性初探

本文对上海期货交易所与伦敦金属交易所铜期货价格的尾部分布与相关特性作了研究,发现:两交易所的日间收益率数据的样本峰度比正态分布要高,尾部呈现Frechet分布(或厚尾)特征,而且伦敦金交所的厚尾特征比期交所的更明显;两序列的右尾有限相关度显著,但渐进不相关.而它们的左尾不仅有限相关度显著,也表现出很强的渐进相关度.     

中国商品期货投资属性研究

在全球大宗商品金融化的背景下,商品期货逐渐成为一类重要投资性资产。本文旨在从风险溢价、风险分散和风险因子这三个方面探讨我国商品期货的投资属性。测算显示,我国商品期货的风险溢价为正,说明期货多头获得风险补偿,支持正常贴水理论。与美国类似,近十年来我国商品期货市场与股票市场高度正相关,意味着分散股市风险的功能较弱;进一步研究表明,通货膨胀和经济周期是产生这种正相关的主要渠道。另外,我们发现美国商品期货市场上常用的风险因子在中国并不适用。     

中国大宗商品期货市场定价机制研究

大宗商品期货市场是我国资本市场的重要组成部分,其定价有效性关系到投资者套期保值和价格发现等功能的实现。本文对国际前沿研究中常用的定价因子进行全面系统梳理,并对这些因子对我国商品期货合约收益率的解释和预测能力进行检验。在此基础上,本文构建了适用于我国大宗商品期货市场的包含市场、基差以及基差动量的三因子定价模型。进一步研究表明,基于大宗商品存储理论和现货存货数据构建的投资组合收益率可以被本文三因子模型有效解释,验证了经典的存储理论在我国的适用性。此外,本文对基差与基差动量两个重要因子的经济学意义进行了阐释。本文研究为进一步厘清大宗商品期货市场定价机制提供了一定参考。     

全球商品期货市场的发展趋势展望

本文从商品期货市场发展的现状出发,阐述了中国商品期货市场所取得的成就以及尚处于初级阶段的现实,并深入剖析当前宏观经济形势对大宗商品期货市场的复杂影响,展望了未来国际及国内商品期货市场的发展。     

Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates

We characterize a three‐factor model of commodity spot prices, convenience yields, and interest rates, which nests many existing specifications. The model allows convenience yields to depend on spot prices and interest rates. It also allows for time‐varying risk premia. Both may induce mean reversion in spot prices, albeit with very different economic implications. Empirical results show strong evidence for spot‐price level dependence in convenience yields for crude oil and copper, which implies mean reversion in prices under the risk‐neutral measure. Silver, gold, and copper exhibit time variation in risk premia that implies mean reversion of prices under the physical measure.     

An Investigation into the Equilibrium Structure of the Commodity Futures Market Anomaly

Commodity futures contracts are shown to be characterized by indivisibility problems and tax disadvantages. An empirical test demonstrates that long futures investors were compensated for these drawbacks prior to the mid-1970s. However, compensation for the investment disadvantages of commodity futures ceased to exist after 1974. The year 1974 is significant because barriers to institutional investment in the futures market were removed in that year.     

我国金属商品期货价格指数与PPI关系探析

期货价格指数在国外早已成为通货膨胀的早期预警指标,为中央银行货币政策的制定和调整提供了重要的参考。本文在借鉴国外金属商品期货价格指数编制方法的基础上．提出了符合中国国情的指数编制和修正方法,编制出我国上海期货交易所的金属商品期货价格指数。实证结果表明：以2008年1月1日至2011年4月31日为样本区间,采用最优指数编制方法．可以得出国内金属商品期货指数对生产者价格指数的先行时间达5个月,能较好反映出我国工业原材料未来出厂价格走势,这在一定程度上能为我国宏观经济政策的制定提供重要的参考。这也表明,我国金属期货市场功能近年来已趋于完善。价格发现功能得以较好体现,这是从本文经验研究结果直接得出的一个重要结论。     

地缘政治和金融压力对我国商品期货的影响研究

随着我国商品期货市场的逐渐发展,研究地缘政治风险(国际)和金融压力(国内)对其的影响具有一定的现实意义。通过构建三变量TVP—SV—VAR模型,实证分析发现地缘政治风险和金融压力对我国总商品期货市场和四个子商品期货市场收益率(能源、农产品、贵金属和工业金属)存在动态时变影响,且对不同的子商品期货市场收益率的影响具有异质性。建议加大我国商品期货市场开放程度,增加商品期货市场产品种类,完善商品期货市场法律法规。     

大力发展商品期货对我国经济体系的战略意义

我国的期货市场经过十几年的发展,依然存在着多方面的问题.本文分析了期货商品所具有的量大、金融性强等属性及其在经济体系巾的地位,进一步分析指出,大力发展商品期货对我国经济体系具有提高市场效率、保证经济体系平稳运行、提高我同市场在资源类商品定价话语权、提高实体经济与虚拟经济的融合为宏观政策提供良好的政策环境等影响深远的战略意义.最后对如何发展商品期货提出了四个方面的建议.     

Information Flows Between the U.S. and China Commodity Futures Trading

Using a bivariate GARCH model, we examine patterns of information flows for three commodity futures traded in both the developed U.S. market and the emerging China market (copper, soybeans and wheat). For copper and soybeans, the two commodities that are subject to less government regulation and fewer import restrictions in China, we find that the U.S. futures market plays a dominant role in transmitting information to the Chinese market, a result that confirms the importance of the U.S. role as a leader in the global financial market. For the heavily regulated and subsidized wheat commodity, our empirical results indicate that the U.S.-China futures markets are highly segmented in pricing, although information transmission via volatility spillover across markets is present.