The components of the bid‐ask spread: Evidence from the corn futures market

This article examines whether USDA announcements and commodity index fund rolling activity have an impact on liquidity costs, measured by the bid‐ask spread. Using Huang and Stoll's (1997) model of liquidity costs, we estimate whether changes to liquidity costs are driven by its adverse selection, inventory, or order processing components. Commodity index fund roll activity reduces the asymmetric information cost component of liquidity cost due to an increased proportion of noninformation‐based trading, but the inventory cost component increases as (mostly long only) commodity index funds sell their nearby positions and buy the first deferred contract—raising liquidity providers’ risk of building a position. The sum of these two effects is that liquidity costs remain low during index fund roll periods, averaging one “tick” (0.25 cents). On USDA report release days, we find that informed traders raise the asymmetric information component of liquidity costs in the first hour after release, but the inventory cost component is reduced due to the increase in volume. Similar to index fund roll activity, liquidity costs on USDA report release days remain low, averaging one “tick”. Our findings that liquidity costs are minimally changed during USDA report releases and commodity index fund roll periods is consistent with other recent research on liquidity costs, but we show that what drives liquidity costs differs substantially depending on the circumstances surrounding daily trading.     

通货膨胀的决定因素:中国的经验研究

本文采用两阶段最小二乘法(TSLS)对中国通货膨胀的决定因素进行了实证研究。文章发现:在样本期内,通胀惯性是造成中国通胀的最大影响因素,GDP过快增长是第二大导因,流动性过剩虽然也促成通胀,但是其不具决定影响;股票市场财富效应对通胀的影响非常小;国际食品价格上升对中国物价有统计上显著但不是很大的推升作用,而国际能源涨价显著地推高PPI但对CPI的影响统计上不显著。此外,人民币实际有效汇率升值能够降低通胀,但是幅度不是很大。     

What Explains Agricultural Price Movements?

After 2005, commodity prices experienced their longest and broadest boom since World War II. Agricultural prices have now come down considerably since their 2011 peak, but are still 40% higher in real terms than their 2000 lows. This paper briefly addresses the main arguments on the causes of the agricultural price cycle. It broadens the scope of analysis by focusing on six agricultural commodities, and identifies the relative weights of key quantifiable drivers of their prices. It concludes that increases in real income negatively affect real agricultural prices, consistent with the Prebisch–Singer hypothesis and its predecessor, Engel's Law. Energy prices matter most (not surprisingly, given the energy‐intensive nature of agriculture), followed by stock‐to‐use ratios and, to a lesser extent, ex‐change rate movements. The cost of capital affects prices only marginally, probably because it not only influences demand, but also evokes a supply response. The added value of these results lies in that, when examined in tandem and against market fundamentals, they challenge the conclusions from uni‐dimensional approaches that often put disproportionate weight on an individual factor.     

Out‐of‐sample testing price discovery in commodity markets: the case of soybeans

Price discovery, a central function of futures markets, has been usually tested in‐sample by studying the common stochastic trend between spot and futures prices. Instead, to evaluate futures as anticipatory prices, we develop a forecast approach to out‐of‐sample test price discovery in a multivariate framework. We apply it to the soybeans market. Results indicate futures prices as the best available “predictors” of future spot prices, although this finding holds only on average and for certain periods, other models show forecasting gains.     

An exploration of factors influencing the choice of commodity price risk mitigation strategies

Most firms are exposed to price volatility associated with commodities, which can significantly affect the price paid for raw materials, energy, packaging, shipping, and component purchases. Commodity price risk represents the financial, operational and informational effects of commodity price volatility (CPV). The purpose of this paper is to contribute to the supply chain risk management literature by providing a taxonomy of commodity price risk mitigation strategies and factors that may influence the adoption of these strategies. A qualitative study was conducted using a grounded theory approach, based on case studies of companies with home operations in Italy, Germany, and the US. The paper provides some initial evidence for theory and practice as to: 1) how firms can mitigate the risk from CPV by implementing various sourcing, contracting, and financing strategies; and 2) the influence of commodity/product factors, buying organization factors, supply chain factors, and external environment factors on strategy capability and choice.     

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。     

湖南农村商品市场体系建设对策与思考

加强农村商品市场体系建设是建设社会主义新农村的重中之重.目前湖南农村商品市场体系建设过程中存在市场经济体制不完善,缺乏统一规划,布局不合理,注重形式,忽视内容,合作化、组织化程度低等问题,必须统一认识、统一规范建设.     

限购背景下存准率与房价的关系研究

2010年以来,我国主要的大中城市纷纷出台了商品房的限购政策,同期法定存款准备金率也多次调整.在限购政策背景下,本文运用广义矩(GMM)方法,将限购政策作为逻辑变量加入到估计模型中,对限购背景下的存款准备金率调整与商品房价格的关系进行了定量分析.结果表明,限购政策对于抑制房价过快上涨具有显著意义,同时,政府上调存款准备金率在滞后2期和3期时对于抑制商品房价格过快上涨也具有一定的积极作用,但商品房价格不会因存款准备金率的上调而出现急速下跌,而是在存款准备金率持续上调的过程中呈现出先上涨后下跌,再上涨、再下跌的交替变化特征.研究同时发现,限购政策和存款准备金率调整对于我国东部地区城市影响显著,而对于中西部城市影响则不显著.基于此,本文提出了运用存款准备金率手段在抑制商品房价格过快上涨过程中的对策建议.     

Restaurant revenue management: Do perceived capacity scarcity and price differences matter?

Revenue management (RM) has become an indispensable strategic tool in capacity-constrained service industries whose total revenue often depends on the abilities of firms to use capacity efficiently. The restaurant business is similar enough to traditional RM industries such as hotels and airlines, but restaurants also have unique characteristics that pose special challenges to restaurant operators. Among the unique characteristics of restaurants are the relative flexibility of service capacity and the flexible duration of a meal, which are important subjects to be considered in the implementation of RM practices. In addition, when a restaurant operator practices a demand-based variable pricing policy to adjust demand, the magnitude of the price differences may influence fairness perceptions of the policy. Based on the commodity theory and the equity theory, this study hypothesizes that two main effects, namely, perceived scarcity of capacity in a restaurant and price differences, influence the perceived value of a restaurant's offerings and the fairness perceptions of a restaurant's RM practices. As hypothesized, the negative effects of price difference on fairness perceptions are supported by the results. However, findings suggest that perceived scarcity of capacity influences neither the perceived value of a restaurant's expected offering nor the fairness perceptions for a restaurant's RM practices.     

COMMODITY MARKET REGULATION AFTER FINANCIAL CRISIS: A COMPARATIVE APPROACH

The United States Federal Government has imposed remarkably similar regulations on commodity markets after financial crises, particularly after the Great Depression and the recent financial crisis beginning in 2007. A comparison of these two great economic recessions will help identify the changes in commodity regulation policy over the past century.