Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices

We propose a novel test to measure market efficiency while estimating the time-varying risk premiums of commodity futures, given that the prices are heteroscedastic. The risk premium is estimated using a state-space model with a Kalman filter modified for heteroscedasticity. Using 79 commodity futures traded on 16 exchanges during the period 2000–2014 and a Monte Carlo simulation, we demonstrate that the proposal produces robust results compared with conventional approaches. The global financial crisis has improved the efficiency and affected the trading volumes of commodity futures, but it has had no effect on the average or the volatility of risk premiums.     

Vegetarian Utopias: Visions of dietary patterns in future societies and support for social change

The current study draws on the collective futures framework to examine how visions of future societies where most people consume plant-based, vegetarian or vegan diets are related to current support for social change towards plant-based diets. Participants were 506 university students in Aotearoa New Zealand invited to imagine a society in 2050 where most individuals consume a plant-based, vegetarian, or vegan diet. A thematic analysis was conducted on responses to an open-ended item asking how these future societies would be different to today. Participants reported a variety of potential positive and negative outcomes for individuals and wider society. Subsequent analyses of attitudes scales investigated the relationships between the collective dimensions of plant-based future societies and support for policies to promote plant-based diets. For a vegetarian future, the strongest predictor of current support for social change was the expectation that widespread vegetarianism would reduce societal dysfunction. For a vegan future, the strongest predictor of support for social change was an expectation of increased warmth in a vegan society. Implications for theory and advocacy are discussed.     

A functional time series analysis of forward curves derived from commodity futures

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).     

Forecast on silver futures linked with structural breaks and day-of-the-week effect

Silver future is crucial to global financial markets. However, the existing literature rarely considers the impacts of structural breaks and day-of-the-week effect simultaneously on the volatility of silver future price. Based on heterogeneous autoregressive (HAR) theory, we establish six new type heterogeneous autoregressive (HAR) models by incorporating structural breaks and day-of-the-week effect to forecast the volatility. The empirical results indicate that new models’ accuracy is better than the original HAR model. We find that structural breaks and the day-of-the-week effect contain much forecasting information on silver forecasting. In addition, structural breaks have a positive effect on the silver futures’ volatility. Day-of-the-week effect has a significantly negative influence on silver futures’ price volatility, especially in the mid-term and the long-term. Our works is the first to combine the structural breaks and day-of-the-week effect to identify more market information. This paper provides a better forecasting method to predict silver future volatility.     

Marx 200: The Abiding Relevance of the Labour Theory of Value

ABSTRACT

Marxist political economy is alive and well, and not just because of the habitual turn to Marx in response to any crisis of capitalism. Both through Capital and through the continuing evolution of Marxism, Marxist political economy offers valuable insights that can illuminate the modalities of social and economic reproduction and the relationships between (different aspects of) the economic and the non-economic. Marxism’s presence has been felt through its own internal debates and debates with other approaches to political economy, and even through its influence on those reacting against Marxism. The key to the continuing relevance and analytical strengths of Marxist political economy lies in its capacity to provide a framework of analysis for unifying disparate insights into and critiques of the contradictions of capitalism across the social sciences. The instrument for forging that unity is Marx’s theory of value, the potential of which is examined and illustrated with reference to the Sraffian critique and two key concepts in Marxian political economy: the value of labour power and financialisation. They are explored in the light of the processes of commodification, commodity form and commodity calculation.     

The untold story of commodity futures in China

We investigate the behavior of commodity futures risk premia in China. In the presence of retail-dominance and barriers-to-entry, the term structure and momentum premia remain persistent, whereas hedging pressure, skewness, volatility, and liquidity premia are distorted by time-varying margins and strict position limits. Furthermore, open interest, currency, and inflation premia are sensitive to institutional settings. The observed premia cannot be attributed to common risks, sentiment, transactions costs, or data-snooping, but are related to liquidity, anchoring, and regulation-induced limits-to-arbitrage. We highlight the distinctive features of Chinese futures markets and assess the challenges posed to theories of commodity risk premia.     

Designing futures: Inquiry in climate change communication

There are many barriers and challenges associated with climate change communication focused on promoting community-based action for sustainable futures. Of particular interest is the challenge to embed community perspectives in a communication process of climate change solutions. In this paper we argue that 3D interactive simulations using design inquiry as a development process, can be an effective way of communicating climate change solutions and multiple community responses. People are more likely to engage with the challenges associated with complexity of climate change at the local level when their perspectives are integrated into viable and multiple pathways for action. Future scenarios of change processes situated in local experiences in compelling and interactive ways can be disseminated holistically by making links between scientific, social, political, economic and cultural elements. Design inquiry, as a research approach, integrates contextual knowledge into communication processes to aid imagining, re-thinking and reembodying viable pathways that explore the kinds of futures we collectively envision. This paper examines the contributions that design inquiry makes to climate change communication using an interactive simulation environment for designing futures. We discuss these ideas using the example of the Future Delta project, a virtual 3D environment that enables the exploration and simulation of multiple community-based climate change solutions in the Corporation of Delta, British Columbia.     

Public perceptions of future threats to humanity and different societal responses: A cross-national study

There is growing scientific evidence that humanity faces a number of threats that jeopardize its future. Public perceptions of these threats, both their risks and reactions to them, are important in determining how humanity confronts and addresses the threats. This study investigated the perceived probability of threats to humanity and different responses to them (nihilism, fundamentalism and activism), in four Western nations: the US, UK, Canada and Australia. Overall, a majority (54%) rated the risk of our way of life ending within the next 100 years at 50% or greater, and a quarter (24%) rated the risk of humans being wiped out at 50% or greater. The responses were relatively uniform across countries, age groups, gender and education level, although statistically significant differences exist.Almost 80% agreed “we need to transform our worldview and way of life if we are to create a better future for the world” (activism). About a half agreed that “the world’s future looks grim so we have to focus on looking after ourselves and those we love” (nihilism), and over a third that “we are facing a final conflict between good and evil in the world” (fundamentalism). The findings offer insight into the willingness of humanity to respond to the challenges identified by scientists and warrant increased consideration in scientific and political debate.     

Can investors of Chinese energy stocks benefit from diversification into commodity futures?

We attempt to evaluate the diversification potential of commodity futures for energy stocks in China. With a variety of copula functions and three risk-based dynamic measures, our results show that even though commodity futures are not helpful in improving the risk-adjusted returns of energy stocks, they can significantly reduce the volatilities and expected-shortfalls of the diversified portfolios. Such diversification benefits are much larger during large market downturns than during normal times. In particular, gold (copper) futures are the most (least) attractive in diversifying risks of energy stocks in most cases. The results also highlight that the non-linear dependence cannot be ignored when estimating the diversification benefits, and more various risk hedging strategies are expected for investors holding energy stocks, especially coal company stocks.     

谷书堂关于社会主义商品经济理论的探索

文章认为,谷书堂是中国研究社会主义商品经济理论较早的学者之一,其研究社会主义商品经济理论分为20世纪50年代、70年代末至80年代初、90年代三个阶段。关于物质利益和劳动谋生手段是社会主义商品经济原因、社会主义商品经济是中性生产方式、商品经济与公有制双向调整论是谷书堂社会主义商品经济理论的基础。