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Canadian exports of beef and live cattle to the United States have increased significantly since the late 1980s. Hog and pork exports have increased since the mid-1990s. Major factors affecting exports of beef, pork, cattle and hogs from Canada to the United States include the exchange rate, increased Canadian production, Canada-U.S. price differentials and trade liberalization under the Canada-United States Free Trade Agreement of 1989. Increased Canadian exports have resulted in small but significant reductions in U.S. domestic prices of beef, pork and hogs.  相似文献   

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This paper assesses pricing efficiency in the rapeseed futures market. It reports the results of an updating of an earlier analysis, by Martin and Storey, which applies Gray' s simulation of long trading positions in futures market operations. A second test of the martingale hypothesis is also applied to rapeseed futures prices and to futures prices for soybeans, rapeseed' s major competitor. The results of simulated trading activities give some indication of price bias in the first decade of trading in rapeseed futures contracts but there is no evidence of bias in the second decade of trading. The test of the martingale hypothesis indicates that there may have been periodic instances suggestive of pricing inefficiency for the rapeseed futures contract in recent years, although such instances also characterize the more heavily traded United States Board of Trade soybean contract. Cet article évalue l' efficacité de la détermination des prix sur le marché a terme des graines de colza. II met à point une analyse précédente, par Martin et Storey, qui applique la simulation de Gray de positions longues dans les opérations sur le marché à terme. Un deuxième test de l' hypothèse martingale est appliqué aux prix à terme des graines de colza et aux prix à terme des graines de soya, le principal concurrent des graines de colza. Les résultats de la simulation des activités d' échange donnent quelques indications de partialité dans les prix pendant la première décennie d' échange de contrats à terme pour les graines de colza, mais il n' y a pas d' évidence de partialité pendant la deuxième décennie d' échange. Le test de l' hypothèse martingale démontre qu' il y a eu peut-être des cas périodiques pendant les années récentes qui semblent indiquer 1' inefficacité de la détermination des prix pour le contrat à terme des graines de colza, mais ces occasions caractérisent aussi le contrat des graines de soya du Board of Trade des Etats-Unis, dont le marché est plus actif.  相似文献   

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本文对尼日利亚牛羊市场的空间价格一体化程度进行了检验,试图运用双变量自回归时间序列模型验证寡头垄断市场上牛羊价格的非竞争性定价行为。论文分别对牛羊市场的合谋、歧视性、价格领袖和竞争性定价行为进行了经验性检验。结论表明,在牛羊价格形成中,博尔诺(Borno)和索科托(Sokoto)州的牛羊价格领先于克里斯河(CrossRiver)、依莫(Imo)、卡诺(Kano)、拉各斯(Lagos)、尼日尔(Niger)和奥约(Oyo)州这些地方市场的价格。有关证据也支持共谋定价一般与市场的集中有关的判断。  相似文献   

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Evidence suggests that agricultural futures price movements have fat-tailed distributions and exhibit sudden and unexpected price jumps. There is also evidence that the volatility of futures prices is time-dependent both as a function of calendar-time (seasonal effect) and time to maturity (maturity effect). This article extends Bates' (1991) jump-diffusion option pricing model by including both seasonal and maturity effects in the volatility specification. Both in-sample and out-of-sample procedures to fit market option prices on wheat futures show that the suggested model outperforms previous published models. A numerical example shows the magnitude of pricing errors for option valuation.  相似文献   

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In order to identify possibilities for enhancing economic efficiency, levels of relative performance in subsectors of the Canadian livestock slaughtering industry are examined. A variant of the transcendental logarithmic profit function is used to compare relative economic, technical and allocative efficiency between groups of plants of different size, and groups of plants with different degrees of product specialization. Large plants are found to be more technically efficient than small plants, and plants producing both fresh and processed products are found to be more technically efficient than those producing only fresh products. All categories of meat processing plants are found to be relatively and absolutely allocatively efficient. Further research is necessary at an individual firm level to establish specific efficiency characteristics. Afin ?identifier les possibilités ?accroissement de ?efficacité économique dans ?industrie canadienne de ?abattage, les niveaux de performances relatives des sous-secteurs sont analysés. Une variante de la forme logarithmique transcendantale de la fonction de profit est utilisée afin de comparer ?efficacité relative, technique et allocative entre groupes ?abattoirs de différentes tailles et de différents degrés de spécialisation. Cette comparaison montre que les abattoirs de grande taille sont techniquement plus efficaces que ceux de taille modeste. Les abattoirs mettant en marché à la fois des produits frais et transformés sont techniquement plus efficients comparativement aux abattoirs spécialisés dans le produit frais. Toutes les catégories de transformateurs sont relativement et de façon absolue allocativement efficients. Une recherche plus poussée est nécessaire afin ?établir les caractéristiques ?efficience individuelles.  相似文献   

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The role of exchange rate fluctuation on the pricing behavior of Canadian canola exporters to Japan, Mexico, and the U.S. is examined using a model identifying noncompetitive and exchange rate related pricing behavior. Price discrimination was identified for Canadian canola exports to the three destinations over the period of 1993–99. Results also suggest that Pricing to Market strategies were employed for Japanese imports. Canadian canola exporters used local currency price stabilization to dampen the effects of relative price changes in the Japanese currency, perhaps linked to the large size of Japanese imports relative to Mexico and the U.S.  相似文献   

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In this study, a dichotomous choice model is used to determine the compensating welfare measure for water quality improvements stemming from livestock waste management in the Abbotsford region of southwestern British Columbia. The benefits of improving water quality are compared with the net costs of composting manure on a large scale, the option for handling livestock wastes preferred by the provincial government. The results indicate that the costs of composting manure exceed the revenue from selling manure (compost) plus the off-site damages avoided.  相似文献   

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U.S. Department of Agriculture's Dairy Options Pilot Program promoted hedging by producers, and was a test case for similar programs in other agricultural industries. Rapidly shifting milk pricing policies impeded quantitative hedging evaluations while the program was active. Hedging appears capable of reducing price variance by 50–60% in most regions, and favors large, sophisticated producers in heavy cheese manufacturing regions. Forward contracting or price insurance products may offer lower transaction costs and attract more small-scale producers. Ballooning milk deficiency payments and milk's prominent role in trade-distorting payments suggest an ongoing need to promote private price risk management tools.  相似文献   

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利用误差修正模型、BEKK-GARCH模型和格兰杰因果关系实证研究了加拿大和中国菜籽油期货市场之间的信息传导、波动溢出和价格引导关系。实证结果显示:这两个市场之间存在一定的信息传导关系;加拿大菜籽油期货市场对中国菜籽油期货市场存在显著的波动溢出效应,而中国菜籽油期货市场对加拿大菜籽油期货市场的波动溢出不显著;短期内加拿大菜籽油期货市场对中国菜籽油期货市场的价格引导作用更强些,这与加拿大菜籽油期货市场是全球菜籽油定价中心的实际相吻合,而中国菜籽油期货市场的竞争力有待进一步提升。  相似文献   

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农产品期货价格形成机理研究   总被引:4,自引:1,他引:4  
期货价格是期货市场的核心要素,期货市场的套期保值功能和价格发现功能都是由期货价格的形成和变化引出的。本文对农产品期货价格形成机理和农产品期货价格形成中投资者认知与行为偏差进行了深入研究,并得出了重要启示。  相似文献   

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Co-movement between futures prices can arise when commodities are substitutes. Counterintuitively, Dawson and White fail to find a significant long-run link between feed barley and wheat prices on the London International Financial Futures Exchange. This relationship is re-examined using  Johansen, Mosconi, and Nielsen's co-integration procedure that permits structural breaks. Results show evidence of co-integration and hence price discovery. There is a significant break in October 2000 following Common Agricultural Policy intervention price reductions, the barley–wheat futures market is perfectly integrated, and the barley price Granger-causes the wheat price. Modeling structural breaks in price relationships appears important.  相似文献   

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This article presents a dynamic bioeconomic model of livestock disease control that is unique in its integration of disease dynamics, inter-species interaction, control-induced migration, and individual optimising behaviour. Examination of the first-order conditions highlights why profit-maximising producers cannot be expected to eradicate disease. Results from an empirical application of the model confirm that the current mix of policies to control bovine tuberculosis in New Zealand is achieving lower levels of prevalence than would prevail in the absence of a national strategy. These policies do, however, appear to remove some of the individual incentive to control disease.  相似文献   

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Tests for causality and rationality in the coffee futures market were carried out using data from the New York Market. Tests of causality indicated that futures prices strongly influence variations in spot price eight weeks or more to maturity. However, beginning seven weeks to maturity there seems to be a strong causal relationship going from futures to spot and from spot to futures. Risk constancy or neutrality, equality of risk premium and spot price, and efficiency were rejected for the period 18, 51, and 33 weeks or more to maturity. However, simultaneity of risk neutrality and efficiency was accepted for contracts with 55-77 weeks to maturity. The general conclusion from this study is that coffee futures market can be used as an indicator of spot market prices for contracts with 55-77 weeks to maturity. While benefits can be obtained through short term adjustment of available stock and making use of quality storage facilities, planning longer term planting and marketing decisions (e.g., ≥ 77 weeks) on the basis of futures market price can result in misallocation of resources and welfare loss.  相似文献   

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