共查询到20条相似文献,搜索用时 0 毫秒
1.
《管理科学学报(英文)》2021,6(2):146-164
This paper investigates the cross-section of expected commodity futures returns in China using a large panel of 13 individual factors. We find that 6 out of 13 individual factors produce positive and significant returns. To aggregate the information among these factors, we apply not only the traditional Fama-MacBeth regression (FM), but also a set of alternative methods, including the forecast combination method (FC), principal component analysis (PCA), principle component regression (PCR) and partial least squares (PLS). It turns out that PLS outperform other methods in forecasting the cross-section of Chinese expected futures returns. The equally weighted combination of 5 methods produces an even higher annualized return and lower standard deviation compared to each single method. The investigation of factor importance reveals that the skewness (SKEW) factor is more important than other factors in predicting expected futures returns in Chinese markets. 相似文献
2.
This paper investigates the implications of bounded speculative storage, storage bounded from below at zero and above at a capacity, on commodity prices. Binding capacity mirrors the non-negativity constraint on storage and leads to negative price spiking and higher volatility when the market is in deep contango, i.e. low current prices at high stock levels. With bounded storage there is no need to restrict storage to be costly to ensure a rational expectations equilibrium. This allows the model to cover a wide range of storage technologies, including free and productive storage. We also provide an alternative expression for speculative prices that highlights the key role of the storage boundaries. The competitive equilibrium price is the sum of discounted future probability weighted boundary prices. The boundary prices can be viewed as dividends on commodities in storage reflecting the realization of economic profits from storage. 相似文献
3.
In this paper I present a simple stock price decomposition model using the dividend discount model and dividend futures. The main contribution of this paper is the use of dividend futures which represent the risk-adjusted expectations of future dividends. This allows for the calculation of the implied equity risk premium and the decomposition of stock price movements into individual components. Due to the use of daily market data, this method can take into account the structural changes associated with falling interest rates and the Covid-19 pandemic. I empirically show the risk premium development of the S&P 500 Index and Euro Stoxx 50 Index in the last decade. 相似文献
4.
Victor Lux Tonn H.C. Li Joseph McCarthy 《The Quarterly Review of Economics and Finance》2010,50(4):408-414
This paper studies the relationship between futures prices of natural gas and oil. Using wavelet analysis, our research reveals that, throughout the sampled period: (1) the prices of natural gas futures and oil futures have high covariance at high frequencies but not so much at low frequencies; (2) an increase in financialization of commodities commensurate with investors search for yield results in higher covariance between the futures prices of natural gas and oil; and (3) the volatility of neither time series consistently leads the other even at high frequencies. 相似文献
5.
六月份以来,全国猪肉价格快速上涨,很多地方猪肉价格突破历史高位,引起社会各界的广泛关注,如何理性看待这一轮猪肉价格上涨,以及如何建立、健全市场体系、体制,防止猪肉价格再次出现大起大落,是文中研究的主题。 相似文献
6.
This paper investigates the effect of index risk-neutral skewness on subsequent market returns and explores whether this effect will vary with various types of institutional investor sentiment in the futures market. Using index futures returns as the proxy of market returns, the empirical results show that the index risk-neutral skewness has a significantly negative effect on subsequent index futures returns. Moreover, the effect of institutional investor sentiment on subsequent index futures returns varies with various types of institutional investor sentiment. Finally, the effect of index risk-neutral skewness on subsequent index futures returns relies on various types of institutional investor sentiment. 相似文献
7.
Econometric modelling of non-ferrous metal prices 总被引:1,自引:0,他引:1
8.
Pierre L. Siklos 《Economic Systems》2021,45(1):100850
This study estimates a variety of small dynamic factor macro models where the factors are time-varying. The sample consists of 20 economies from around the world. Using quarterly data since the late 1990s, I find that the focus of some policymakers on the negative spillovers from monetary shocks is exaggerated. Four separate types of shocks are identified, and these can easily offset each other with a neutral to positive overall economic impact in some economies investigated here. However, a few economies, namely Brazil, Chile and China, experience a net economic loss from spillovers. 相似文献
9.
The empirical relevance of the competitive storage model 总被引:2,自引:0,他引:2
Carlo Cafiero Eugenio S.A. Bobenrieth H.Juan R.A. Bobenrieth H. Brian D. Wright 《Journal of econometrics》2011,162(1):44-54
The empirical relevance of models of competitive storage arbitrage in explaining commodity price behavior has been seriously challenged in a series of pathbreaking papers by
[Deaton and Laroque, 1992],
[Deaton and Laroque, 1995] and [Deaton and Laroque, 1996]. Here we address their major criticism, that the model is in general unable to explain the degree of serial correlation observed in the prices of twelve major commodities. First, we present a simple numerical version of their model which, contrary to Deaton and Laroque (1992), can generate the high levels of serial correlation observed in commodity prices, if it is parameterized to generate realistic levels of price variation. Then, after estimating the
[Deaton and Laroque, 1995] and [Deaton and Laroque, 1996] model using their data set, model specification and econometric approach, we show that the use of a much finer grid to approximate the equilibrium price function yields quite different estimates for most commodities. Results are obtained for coffee, copper, jute, maize, palm oil, sugar and tin that support the specifications of the storage model with positive constant marginal storage cost and no deterioration as in Gustafson (1958a). Consumption demand has a low response to price and, except for sugar, stockouts are infrequent. The observed magnitudes of serial correlation of price match those implied by the estimated model. 相似文献
10.
The recent decade has witnessed wild swings in global commodity prices, with large increases preceding the Global Financial Crisis and steep declines following the crash. Many emerging markets find themselves destabilized by these fluctuations, not only when price increases lead to currency appreciations and reduced competitiveness, but also when price decreases cause capital outflows and deteriorations in the balance of payments. This study examines the volatility processes of six major commodity prices, before applying Multivariate GARCH analysis to examine spillovers among important commodity prices and output, exchange rates, interest rates and inflation in major emerging markets. While each commodity and each country behaves differently, we find that Chile is most closely tied to the copper price, and Indonesia to oil and tin, while neighbors such as Brazil and the Philippines are less affected. Perhaps surprisingly, Russia is found to be highly insulated from fluctuations in world oil prices. 相似文献
11.
《Economic Systems》2023,47(2):101043
The complexities in modern stock markets make it imperative to unravel the possible predictors of their future values. This paper thus provides insights into the predictability of stock prices of the BRICS countries with large dependence on commodities either for foreign exchange earnings or industrial while accounting for the role of asymmetries. Essentially, empirical evidence abound for the high volatility in world commodity markets, thus making us to determine if positive and negative changes in commodity prices predict stock prices differently. In addition, unlike the traditional forecast models, our choice of forecast models additionally addresses certain statistical features, including conditional heteroskedasticity, serial dependence, persistence and endogeneity, inherent in the predictors, which have the potential of causing estimation bias. In all, we find evidence in favour of the ability of commodity prices to predict stock prices of Brazil, Russia and South Africa. Also, both the in-sample and out-of-sample forecast performances of the predicted models support asymmetries in a number of commodity prices in each of these three countries. Our results are robust to different data samples and forecast horizons. 相似文献
12.
This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. Aggregated data for major OECD countries are therefore analysed in a cointegrated VAR framework. Our empirical results for the period ranging from the 1970s to 2008 support the view that, when controlling for interest rate changes and thus different monetary policy stances, money (defined as a global liquidity aggregate) is still a key factor to determine the long-run homogeneity of commodity and goods prices movements. 相似文献
13.
This paper constructs a portfolio model to analyze the determinants of the financial investment decision of non-financial firms in China. Unlike the literature assuming that financial investments are riskless, our model allows risks in both fixed and financial investments. We show that this extension provides an analytically similar but economically different model from the literature. In particular, it is relative risk and risk-adjusted return gap, not pure risk and simple return gap that enter into firms’ financial investment decision model. Using firm-level panel data of 1902 firms listed in Chinese stock market over the period from 2006 to 2016 with semi-annual frequency, we find that the ratio of fixed investment risk over total risk dominates financial investment decisions of non-financial firms. However, rates of risk-adjusted return gap between financial and fixed investments play no role in Chinese firms’ financial investment decisions, which is in stark contrast to the results using a model assuming riskless financial investments. The baseline findings are robust to alternative measures of financialization and investment risk and different firm sizes, ownership structures and time periods. 相似文献
14.
The purpose of this paper is to examine the behavior of international commodity prices within the context of the Prebisch–Singer hypothesis. To this end, I utilize a panel unit root approach which is able to account for multiple structural breaks and cross-section dependency. The unit root analysis for 24 international commodity prices during the period 1900–2003 shows evidence in favor of the trend stationary process in the commodity prices. The results thereby imply that shocks to commodity prices are temporary in nature and tend to be corrected over time. The estimation of the trend stationary models indicates that the Prebisch–Singer hypothesis is not a universal phenomenon. 相似文献
15.
文章根据现有的研究资料,详细论述了金融期货在组合投资管理中的应用,并根据笔者在这一方面的认识提出了一些对策建议,以期能够帮助投资者实现其金融产品的保值、增值的目的。 相似文献
16.
This study investigates the excess co-movement of agricultural futures prices from a new perspective of contagious investor sentiment. This study shows that contagious investor sentiment is a key determinant of excess co-movement of agricultural futures prices, by using contagious investor sentiment among different agricultural futures. Further, this study decomposes contagious investor sentiment into expected and unexpected contagious investor sentiment. Results show that both of them can positively affect excess co-movement of agricultural futures prices. More interestingly, expected contagious investor sentiment outperforms unexpected contagious investor sentiment in soybean 1 future, soymeal future, and strong wheat future. In general, the results of this study can provide strong support for the significant roles of contagious investor sentiment in asset pricing applications. 相似文献
17.
金属期货与现货市场价格互动关联规则挖掘研究 总被引:1,自引:0,他引:1
期货市场传递的价格信息反映未来供求状况的预期,因此,研究金属期货和现货市场价格互动,对于国民经济发展、企业规避价格风险、投资者进行投资决策及政府进行市场监管都有重要意义。本文将数据挖掘中的关联规则挖掘方法引入金融时间序列分析研究领域,针对挖掘对象期货市场的特点,提出基于时间约束的时间序列关联规则挖掘算法。与传统的忽视数据时间信息的关联规则挖掘算法相比,该算法对期货价格与现货价格间的互动关联规则进行挖掘,能发现反映时间序列局部动态互动关联关系,具有一定的短期预测效果。 相似文献
18.
Residential investment and house prices in a multi-sector monetary business cycle model 总被引:1,自引:0,他引:1
This paper develops a three-sector quantitative dynamic stochastic general equilibrium model to account for some of the salient business cycle properties concerning residential investment and house prices. We depart from the traditional Real Business Cycle setup by incorporating monetary frictions and credit market activities into the model economy. The model generates the high volatility of residential investment and hours worked in the house investment goods producing sector, as well as the procyclicality of house prices. The lead-lag pattern of house investment also roughly conforms with the data. We find that monetary policy and nominal interest rates play a special role in the determination of house prices. Money shocks generate remarkably volatile residential investment and house prices. 相似文献
19.
Contrary to the classical position, the works of Prebisch and Singer in the middle of the last century launched the controversial hypothesis of a long-term decline in the terms of trade of primary products vis-á-vis manufactured goods and a corresponding decline in the terms of trade of developing countries vis-á-vis advanced ones. The present study traces the origin and evolution of the hypothesis and reviews the related statistical debate. It also reviews the theoretical support for the Prebisch–Singer hypothesis. It is an exercise in the history of economic thought to trace how the controversies surrounding the terms of trade have evolved over time, specifically noting that, with the development of the field of econometrics, the central thesis of the argument got lost somewhere in the realm of hi-tech statistical debates. 相似文献
20.
《International Journal of Forecasting》2020,36(2):646-665
We study forward curves formed from commodity futures prices listed on the Standard and Poor’s-Goldman Sachs Commodities Index (S&P GSCI) using recently developed tools in functional time series analysis. Functional tests for stationarity and serial correlation suggest that log-differenced forward curves may be generally considered as stationary and conditionally heteroscedastic sequences of functions. Several functional methods for forecasting forward curves that more accurately reflect the time to expiry of contracts are developed, and we found that these typically outperformed their multivariate counterparts, with the best among them using the method of predictive factors introduced by Kargin and Onatski (2008). 相似文献