近日,華中農(nóng)業(yè)大學(xué)經(jīng)濟(jì)管理學(xué)院副教授職稱(chēng)李劍在American Journal of Agricultural Economics (AJAE ,《美國(guó)農(nóng)業(yè)經(jīng)濟(jì)學(xué)雜志期刊》)發(fā)布了題為“A dynamic analysis of the distribution of commodity futures and spot prices”的科學(xué)研究畢業(yè)論文,以谷類(lèi)銷(xiāo)售市場(chǎng)為例子剖析了商品期貨對(duì)調(diào)控農(nóng)產(chǎn)品市場(chǎng)價(jià)格調(diào)整層面的信息危害體制。
畢業(yè)論文立足于“搭建以市場(chǎng)經(jīng)濟(jì)為核心的農(nóng)牧業(yè)激勵(lì)約束機(jī)制”關(guān)鍵出題,從概念方面討論了發(fā)展趨勢(shì)商品期貨專(zhuān)用工具、提升農(nóng)牧業(yè)風(fēng)險(xiǎn)管控社會(huì)化體制的規(guī)章制度市場(chǎng)前景和現(xiàn)行政策使用價(jià)值。畢業(yè)論文的關(guān)鍵奉獻(xiàn)取決于提升了傳統(tǒng)式的“平均值-標(biāo)準(zhǔn)差”剖析架構(gòu)(mean-variance analysis),搭建了更理論的價(jià)錢(qián)分布函數(shù)可能方式(QVAR-Copula)。
該科學(xué)研究創(chuàng)建了一個(gè)涉及到農(nóng)業(yè)產(chǎn)品供求、期現(xiàn)套期保值和價(jià)錢(qián)決策的理論模型,從理論上剖析了商品期貨對(duì)現(xiàn)貨交易市場(chǎng)價(jià)錢(qián)的危害不但存有于低級(jí)矩方面(平均值-標(biāo)準(zhǔn)差),與此同時(shí)存有深層次關(guān)系(包含尾端和高級(jí)矩以?xún)?nèi)的全分位點(diǎn)),這一發(fā)覺(jué)有利于為商品交易所者在期現(xiàn)套利計(jì)算和資產(chǎn)配備管理決策層面給予新的基本思路和理論來(lái)源。
實(shí)證分析一部分梳理了1980-2019年CBOT黃豆和苞米的期現(xiàn)貨交易市場(chǎng)數(shù)據(jù)信息,剖析得到了一系列有價(jià)值的探索與發(fā)現(xiàn)。第一,研究發(fā)現(xiàn),與概念剖析相切合,期現(xiàn)價(jià)錢(qián)關(guān)系具備繁雜動(dòng)態(tài),并且這類(lèi)價(jià)錢(qián)關(guān)系隨期權(quán)合約限期轉(zhuǎn)變而存有“限期效用”(time-to-maturity effect),商品期貨對(duì)期貨價(jià)格的調(diào)控功效具體反映在鄰近期滿(mǎn)合同。第二,研究發(fā)現(xiàn)了谷類(lèi)期現(xiàn)價(jià)錢(qián)存有明顯的最優(yōu)控制協(xié)整關(guān)系,銷(xiāo)售市場(chǎng)相守性抗壓強(qiáng)度隨合同期滿(mǎn)時(shí)間而轉(zhuǎn)變。第三,在描繪價(jià)錢(qián)聯(lián)合分布函數(shù)基本上,進(jìn)一步獲得了期現(xiàn)貨交易反向市場(chǎng)遍布時(shí)變規(guī)律性,其對(duì)評(píng)定期現(xiàn)貨交易市場(chǎng)收斂和期現(xiàn)套利實(shí)際效果具備主導(dǎo)作用。該科學(xué)研究搭建新的理論研究方式,剖析了商品期貨對(duì)農(nóng)業(yè)產(chǎn)品價(jià)格調(diào)整的作用機(jī)理和動(dòng)態(tài)性危害,為提升風(fēng)險(xiǎn)管控專(zhuān)用工具自主創(chuàng)新和促進(jìn)在我國(guó)農(nóng)牧業(yè)激勵(lì)約束機(jī)制社會(huì)化變革給予了有利啟發(fā)。
近些年,李劍以及所屬研究組緊緊圍繞農(nóng)牧業(yè)風(fēng)險(xiǎn)管控與價(jià)格調(diào)整問(wèn)題,對(duì)焦破譯“怎樣搭建以市場(chǎng)經(jīng)濟(jì)為核心的農(nóng)牧業(yè)激勵(lì)約束機(jī)制”這一關(guān)鍵理論和實(shí)際問(wèn)題。精英團(tuán)隊(duì)立足于前端,對(duì)社會(huì)化管理模式的行得通專(zhuān)用工具(期貨期權(quán)和農(nóng)業(yè)保險(xiǎn))以及與現(xiàn)行標(biāo)準(zhǔn)農(nóng)業(yè)政策的兼容性的問(wèn)題進(jìn)行了系統(tǒng)化科學(xué)研究。2017年起,李劍所屬研究組與農(nóng)牧業(yè)風(fēng)險(xiǎn)管控基礎(chǔ)理論杰出專(zhuān)家學(xué)者——美國(guó)威斯康星大學(xué)Jean-Paul Chavas專(zhuān)家教授精英團(tuán)隊(duì)進(jìn)行長(zhǎng)期性戰(zhàn)略合作科學(xué)研究,在國(guó)際性農(nóng)經(jīng)學(xué)好會(huì)刊Agricultural Economics發(fā)布3篇系列產(chǎn)品畢業(yè)論文,在中國(guó)《管理世界》《中國(guó)農(nóng)村經(jīng)濟(jì)》等期刊論文發(fā)表數(shù)篇有關(guān)科學(xué)研究畢業(yè)論文,多次在美國(guó)農(nóng)經(jīng)學(xué)好企業(yè)年會(huì)和國(guó)際性農(nóng)經(jīng)學(xué)家交流會(huì)匯報(bào)溝通交流。
該科學(xué)研究取得了自然科學(xué)基金新項(xiàng)目和院校“青年人技術(shù)骨干國(guó)際性培養(yǎng)方案”的支助。
【英文摘要】
This paper investigates the role of futures markets and their dynamic effects on the stability of commodity prices. The analysis is based on combining two econometric approaches: a quantile vector autoregression (QVAR) model of the marginal distributions of futures and spot prices, and a copula of their joint distribution. Applied to the US soybean and corn markets over the period of 1980–2019, the econometric investigation finds evidence of nonlinear price dynamics that depend on the maturity of the futures contract and documents how marginal price distributions and associated moments evolve over time. based on the estimates of the QVAR model, we provide evidence of local instability in the upper tail of the price distributions. We find that the futures market helps stabilize the market under nearby futures contract maturity. We document the presence of nonlinear cointegration relationships between futures and spot price. Relying on a copula, we find a positive contemporaneous codependence between futures price and spot price across all quantiles, codependence that varies with the futures contract maturity. We also present evidence of a time-varying basis that affects the convergence properties of the futures and spot price. Our findings shed new light on the joint determination of futures and spot price in commodity markets.
畢業(yè)論文連接:https://onlinelibrary.wiley.com/doi/10.1111/ajae.12309
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