国际商品市场中“一价定律”的验证:共同概率模型和动态贸易变量

Testing the Law of One Price in International Commodity Markets: Joint Probability Model and Dynamic Trade Information

本文讨论并引伸了Barrett和Li(2002)提出的共同概率模型,在原有基础上将贸易变量动态化,以增加在经验分析中所包含的信息量和解释能力。考虑到国际商品贸易的跨期性,我们的预期价格采用了商品期货价。我们用改进后的方法对中美大豆贸易做了实证分析,发现两国大豆市场自1995年以来基本上是整合的,并发现对竞争性均衡关系的偏离主要发生在早期,即在中国商品期货市场完善和农产品市场体制改革之前。研究还发现两国大豆价差在南美豆收获期后明显缩小。收益不确定性参数的t检验不显著在一定程度上表明了进口商对价格风险的规避行为。

A joint probability model is discussed and extended to embrace trade volume change and risk perceptions. Commodity futures prices are used as the expected revenue indices. The extended model is applied to Sino-US soybean markets analysis. The empirical findings include that： a）. the two markets are mostly well linked during the sample period, b）. Departures from competitive equilibrium are discovered in early time. c）. Price spread between the two markets narrows during the post - harvest time of Brazil. d）. The statistical insignificance of price uncertainty parameter may demonstrate importers risk - hedging behavior in commodity futures market.