The price discovery function ofagricultural commoditiesregressions -价格发现功能 农业商品 平稳过渡地证据 回归.pdf

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1、Thepricediscoveryfunctionofagriculturalcommodities-EvidencefromsmoothtransitionregressionsThisversion:April2012AbstractThemovementoffoodpricesremainsacontroversialissueduetotheen-gagementofspeculativecapitalwhicharguablyintroducesvolatilityandpricemovementsunrelatedtochangesin

2、traditionaldemandandsupplyfactors.Therelationshipbetweenspotandfuturespricesisanimportanttopicinthiscontextasthecurrentperiod'spriceofafuturescontractshouldbeanunbi-asedestimatorofnextperiod'sspotpriceunderthejointassumptionofriskneutralityandrationality.Thisstudycontributesto

3、theliteraturebyallowingforasmoothswitchingregressionintherelationshipbetweenspotandfuturesofagriculturalcommoditiesaftertestingforcointegrationbetweenthem.Ourndingsshowthatalinearframework,whichhasbeenadoptedbypreviousstudies,neglectsimportantdynamicsasspotpricesonlyadjusttof

4、uturespricesunderspeciccircumstances.Insomecases,futurespotchangeseventendtobenegativelyrelatedtotheforwardpremium.JELClassication:G13,G14,Q14,Q18Keywords:agriculture,cointegration,commodities,spotandfuturesmarkets,smoothtransitionregression11.IntroductionFoodpriceshavedrawn

5、considerableattentionaftertheincreaseover2007and2008.Ithasbeenarguedthatnancialratherthanrealfactorsdeterminedthedynamicsofagriculturalcommoditiesduringthisperiodwhichwascharacterizedbyvolatilityandspikes,unrelatedtolong-termtrends(Modena,2011).Inparticular,thepossibleengagem

6、entofspeculativecapitalwhicharguablyintroducesvolatilityandpricemovementsunrelatedtodemandandsupplyeectssuchaschangesintheworldpopulation,economicgrowthoragriculturalproductionisanimportantissue.Inthiscontext,theroleoffuturesmarketsisalsocon-troversiallydiscussed(PiesseandThi

7、rtle,2009;Wright,2011).Ontheonehand,volatilityevokesriskforproducersaswellasconsumersandfuturesmarketsareneededtoreducethatrisk.Theyallowforthetransferofriskfromcommercialtraderswhoareexposedtofuturespricemovementstonon-commercialtraderswhicharefrequentlylabeledasspec-ulatorsa

8、ndtakeshort(long)futurespositionsinthehopeofyieldingacapitalg