140年来小麦价格波动机制:每日价格波动范围分析

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2023-09-01 DOI:10.1016/j.jcomm.2023.100346

Marco Haase , Heinz Zimmermann , Matthias Huss

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引用次数: 0

摘要

我们使用1877年开始的每日最高和最低期货价格的新数据集，分析了140多年来芝加哥小麦价格的每日波动。我们确定了五种长期制度，并发现制度之间的波动性变化在统计上比制度内部的波动更明显，即使在经济状态的条件下也是如此。从平均商品价格数据中得出的历史波动率估计，在实证研究中是一种常见的做法，显示出0%到22%之间的制度依赖的上行偏差。偏差的程度和制度的重要性可能解释了早期研究中关于波动性模式的相互矛盾的发现。

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Wheat price volatility regimes over 140 years: An analysis of daily price ranges

We analyze Chicago based daily wheat price volatility over more than 140 years using a novel data set of daily high and low futures prices starting in 1877. We identify five long-run regimes and find that volatility shifts between regimes are statistically more pronounced than fluctuations within regimes, even when conditioning on economic states. Historical volatility estimates derived from average commodity price data, a common practice in empirical studies, exhibit a regime-dependent upward bias between 0% and 22%. The magnitude of the bias and the importance of regimes potentially explain contradictory findings on volatility patterns in earlier studies.

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.