An alternative method to estimate parameters in modelling the behaviour of commodity prices

Measuring the risk of investment projects involving commodities and modelling its price dynamics behaviour is usually implemented with Kalman filtering techniques. However, because the use of these techniques has high implementation requirements, recent literature has employed approximate models. This paper proposes a new and simpler spreadsheet implementation procedure which presents lower implementation requirements than the widely used Kalman filtering estimation procedure. The proposal needs to estimate fewer parameters than usual and does not directly estimate sequences but considers the relationship between the states implicitly when defining the regression matrices. This translates into a significant reduction in processing time. We apply the proposal to estimate the parameters of a 4-factor model for four commercial commodities: crude oil, heating oil, unleaded gasoline and natural gas; we then compare the accuracy with results using the Kalman filter method. Results indicate that error measurements are approximately equal for the actual model and the approximation proposed in this paper, for both the in- and out-of-sample data-sets.     

The cross section of Chinese commodity futures return

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.     

The use of organized commodity markets to manage food import price instability and risk

The article explores the possibility of insuring the price risks of wheat and maize imports of low‐income food‐deficit countries (LIFDCs). Optimal strategies for an importing agent, who hedges with futures and options are derived, based on the objective of minimizing the unpredictability of import bills. Ex post simulations for a set of LIFDCs are run on wheat and maize imports hedged with futures and options in the Chicago Board of Trade, to explore the extent to which hedging reduces the unpredictability in import bills. Simulations encompass both periods of normal price behavior, as well as the period of global upheaval that occurred in 2007 and 2008. Results show that hedging with futures alone affords agents considerable opportunities for reducing import cost unpredictability, and the same holds with options, albeit, to a lesser extent. However, during the recent price spike of 2007–2008, hedging with options would have increased the unpredictability of some countries’ maize import bills, due to the combination of erratic import patterns and pronounced market uncertainty.     

A factor model for co-movements of commodity prices

We fit a factor model to two monthly panels of deflated prices of energy, metals and agricultural commodities. Prices consistently display a tendency to revert towards the factor, though the speed of reversion to the factor is slow. Using both in- and out-of-sample metrics, we compare the factor model to that of a “no change” model and to two simple models that tie changes in commodity prices to percentage change in either global industrial production or the U.S. dollar. The factor model does relatively well at long (12 month) horizons. In terms of commodities, the factor model's performance is best for energy prices, worst for metals, with agricultural prices falling in between.     

试论"一口通商"时期闽海关的商品流通

清代前期尤其是一口通商前,福建较为发达的对外贸易和国内长途贸易,使闽海关与同时期的江海关和浙海关相比,其对外贸易特征更为明显,这给闽海关带来丰厚的税收。福建独特的地理情况,决定了该省的长途、短途贸易均需通过闽海关各口岸。一口通商初期,清代前期闽海关的外贸色彩更浓,主要表现在对日贸易上。但是一口通商以后,随着福建外贸的衰退特别是内贸商品流通格局的变迁,闽海关的商品流通量大为减少,税收也随之大幅度下降。一口通商政策的实行,相当程度上影响了近代福建经济的转型。     

A Model of Commodity Differentiation with Indivisibilities and Production

This paper presents an existence theorem in a general equilibrium model of a production economy with commodity differentiation and indivisibilities. The model is motivated by the existence of markets with indivisible commodities, such as the markets for automobiles and computers. As is standard in the literature, the space of commodity characteristics is described by a compact metric space and a commodity vector is described by an integer-valued Borel measure on the space of commodity characteristics. An atomless measure space of producers and consumers is assumed to overcome the problem of non-convexity of the production and consumption sets induced by indivisibilities. This paper is based on a chapter from James Marton’s dissertation. We would like to thank Marcus Berliant, Wilhelm Neuefeind, and an anonymous referee for their valuable comments and suggestions.     

经济适用住房挤出效应研究——基于2006-2010年29个大中城市的面板数据分析

国内学者在经济适用房对商品住房的挤出效应问题上一直存有争议。基于2006-2010年29个大中城市面板数据回归，对经济适用房的挤出效应进行实证检验，结果表明：（1）经济适用房销售量的系数显著不为0，说明经济适用房对商品住房的挤出效应存在；（2）挤出效应的值为-0．86，即经济适用房销售量每增加1个单位量，商品住房销售量将会减少0．86个单位量。结果表明，经济适用房政策存在较大的挤出效应。     

房地产市场对股票市场波动的响应机制研究

借助余弦相似度概念,定义并创设了房地产市场景气度评价变量,据此在短期条件下基于消费者均衡理论,依据斯卢茨基方程测度了各商品支出对股票投资收益率变动的收入效应和替代效应,从而揭示了房地产市场对股票收益率变动的响应过程及其关键因素。研究发现,短期条件下,当股票投资收益率提高时,资金在房地产市场与股票市场间的流动受限,投机性房地产支出变动只有收入效应,无替代效应,导致短期房地产市场偏离长期均衡状态;当投机性房地产需求收入弹性高于临界值时,房地产市场对股票市场波动呈现正响应,且投机性房地产需求收入弹性和银行储蓄率越高正响应越强,由此印证了我国股票市场和房地产市场的强关联性。     

The New Division of Labor in the Globalized Economy: Women’s Challenges and Opportunities

The way in which the new international division of labor (NIDL) in the globalized economy affects gender inequalities has not been sufficiently explored yet. The body of literature on commodity chains that has attempted to assess the welfare effects of the NIDL, especially in less developed countries, has paid sparse attention to gender issues. Globalization has entailed the deverticalization of commodity supply chains and the emergence of highly concentrated financial groups and transnational companies linked to a network of firms operating as affiliates and suppliers, namely the global commodity chains. The NIDL could worsen gender inequality, due to the particular organizational strategies in global commodity chains that privilege power, instead of trust and market exchange, as the major form of governance and means for resource allocation. Because women represent the poorest swathe of the world’s population, they suffer the most from the growing wealth inequality and the concentration of power produced by the NIDL. Moreover, because of the traditional sexual division of labor and because of their low status in society, women are the most harshly exploited subjects in the system. The general conclusion of the paper is that in the NIDL the main means of resource allocation are not competitive markets, as often suggested by the GCV literature and mainstream economics, but are instead power relations that ultimately stem from the patriarchal culture of violence and domination.     

A Simple Model of Commodity Taxation and Cross-border Shopping

This paper sets up a simple model in which two countries, differing in geographical extent, engage in commodity tax competition originating in opportunities for cross-border shopping. The non-cooperative tax equilibrium and various coordination initiatives are examined in the benchmark model and in two model extensions incorporating (i) costs of transportation for goods and (ii) border inspection. Among the more surprising results are the following: with (i), pure profits accrue to sellers near the border, but subjecting them to tax may lower the country's total tax revenue; with (ii), the volume of cross-border shopping may well increase.
JEL classification : H 20; H 87; H 26