Asymmetric Price Transmission Analysis of the International Soybean Market

This study analyzed the asymmetric price transmission in the international soybean market, using data from the US (Chicago Futures), European (Rotterdam), Brazilian (Paranaguá), Argentinian (Rosario Futures and Rosario Spot), and Chinese (Spot and Futures) markets. The study looked at the price transmission between these markets over a period of almost 10 years, from September 2009 to May 2019. The Phillips-Perron unit root test was used to determine the order of integration of the time series. The Engle-Granger cointegration test failed to find any evidence of cointegration between the Chinese and Argentinian markets with any others of the international markets. The lack of cointegration was associated with highly government intervened markets. The cointegration and threshold test proposed by Enders and Siklos, succeeded in rejecting the Null hypothesis and finding cointegration among the series after structural breaks had been taken into account. The BDS test for nonlinearity showed that most of the time series were nonlinear, which prompted the investigation to look into nonlinear modelling. To evaluate asymmetric price transmission, the study used the Threshold autoregressive (TAR) model and the momentum threshold model (MTAR). The Argentine and Chinese markets were primarily suspected of exhibiting asymmetric price transmission due to structural government intervention. However, the test results failed to reject the null hypothesis and revealed asymmetric price transmission between these markets and the international market. As expected, the results found no evidence of asymmetric price transmission in the Paranaguá, Rotterdam, and Chicago markets. Hence, it can be concluded that symmetric price transmission is more prevalent in the global soybean market than asymmetric price transmission.

Price Transmission in China's Swine Industry with an Application of MCM

The paper studies the relationship, adjustment ability, path, efficiency and intensity of price transmission in the swine industry chain in China, which consists of the prices of corn, compound feed for fattening pig, piglet, pig and pork. Monthly prices covering a period of 18 yr （1994-2011） are analyzed using a Market-Chain Cooperated Model （MCM）. The empirical results show that there exists a stable long-term cointegration and short-term dynamic relationship in the price system. First, the adjustment speed of each price series is very slow and the transmission path is top-down and one-way significantly. Second, the price from upstream to downstream lags about 2 mort, while there is no lag in price transmission from midstream to downstream. Third, in terms of price transmission intensity, the price of pig impacted greatly on pork price, not only in the current period but also through the whole period. Besides, the price of corn has the largest lagged effects on pork price. According to the above empirical results, we suggest that government should strengthen monitoring and early warning of the swine industry chain, especially the upstream and midstream, attach great importance to the timely adjustment of feed prices and perfect the measures of price subsidy.

Vertical Price Transmission in the China's Layer Industry Chain:an Application of FDL Approach

This paper examines the vertical price relationship between upstream and downstream products in China＇s layer industry chain by estimating elasticity coefficients of the price transmission. We use cointegration tests, error correction models and finite distributed lag models to analyze vertical price shifts between corn, layer feed, egg-laying chicken and egg prices. With monthly data from 1994 to 2010, our results show that various prices in China＇s layer industry chain are well integrated. In addition, our results indicate that both long-run and short-run price relationships between upstream and downstream products in layer industry chain exist and the long-run equilibrium, to a certain extent, may eliminate the short-run dynamics price deviation. We also found that the influence of corn and feed prices on egg prices is still more remarkable than egg-laying chicken prices. Our findings imply that governments should pay more attention to corn and layer feed prices in order to stabilize egg prices under the conditions of market integration.

Industrial transmission effect of international metal price shocks in perspective of industry chain

Based on a new perspective of industry chain and selecting monthly data from February2006to December2015,this paper chooses eight Chinese industrial sectors to construct a SVAR model reflecting internal relationships among metal chains,analyzes the direct effects and indirect effects of international metal prices on output of various links in metal chains,then it investigates the main transmission path of international metal price shocks through decomposing the inflation pressure sources in metal chains.The results show that international metal price shocks not only affect industrial output in a direct way,but also indirectly affect the growth of output through the increased pressure on industrial inflation and then triggering a tightening of monetary policy implementation.Affected by factors such as the lack of market demand and the price transmission mechanism blocking,the direct effects of international metal price shocks mainly impact the upstream and midstream industry,while the downstream industry is mainly affected by indirect effects;in addition,the international metal price shocks have spillover effects on the industrial inflation,and transmit along the industry chain from upstream to downstream,and their strength weakens in sequence.

Overview of Studies on Vertical Price Transmission of Agro-products

Research on price transmission in vertically markets models the various price data, production index, consumer index and expectations index to proof market integration relations and estimate price transmission cycles, as well as to find out its function mechanism. Thanks to the development of market integration theory, research in this field explored well-rounded metric models. And the main research results are very closely to. To build up systematic models to input more variables based on demand and supply function, and remove the assumption of constant returns to scale of enterprises involving marketing and fully competitive market would be the development direction in this field. In this way, models draw close to the truth of economic operations.

Research on the Longitudinal Transmission Mechanism of Prices for Urban Vegetable Supply Chain-Based on the Empirical Research in Chongqing

This paper mainly introduces the longitudinal transmission mechanism of urban vegetable prices in Chongqing area. On the basis of the supply chain theory,the " farm price- wholesale price- retail price" of vegetables in Chongqing has been identified as the research object. Through statistical analysis,it is found that the above three types of price show a modest annual fluctuation of 7- 12% from 2008 to2013. Later,the paper focuses on the empirical research on the weekly price data in 2013 applying the co-integration theory,which reveals that the farm price of vegetables is largely influenced by themselves; the wholesale price of vegetables is mainly affected by their own price,the production price and the retail price of the earlier stage without the current influence of the production price; and the retail price of vegetables is also affected by their own price,but is not affected by the their current local price and the wholesale price. Vegetable prices have shown an obvious positive transmission mechanism in the links from production to retail,but the feedback effect of retail on production is not brought into play.

International Price Shocks Transmission： The Case of Rice in Togo

The objective of the paper was to examine the relationship between the world rice price and the rice price in Togo using the linear and nonlinear co-integration tests. The author used the monthly prices for Togo local rice market and international market. The results show that the rice prices on the local market are integrated to international market. The elasticity of the long-term transmission is high. The threshold autoregression （TAR） model reveals an asymmetric transmission with a magnitude that varies depending on the nature of shock. Price increases in international markets are transmitted more rapidly to the local markets than price reductions. These results might be explained by the market power of traders, transport costs and government intervention.

Asymmetric Price Transmission and Structural Breaks in the Relationship between Costa Rican Markets of Livestock Cattle, Beef and Milk

The vertical price transmission is generally considered as the relationship between two markets of the same production chain However, we can expand this concept to another relation which has not been deeply investigated： the joint products. They are the products which are produced in a single production process, but not correspond to the same chain. An especial case is the beef and milk markets in Costa Rica. Even if these products usually correspond to disconnect chains, in Costa Rica farms make use of cattle to produce both meat and milk. The cointegration framework is applied in order to indentify the price transmission among these markets. In addition, the asymmetric behavior and structural breaks are taken into account. Price transmission between each market pair was found. First, the cattle prices adjust in the milk-cattle relationship, second, beef meat prices adjust in the cattle-beef meat and in the milk - beef meat relationship. Finally, the equations allowing for structural breaks affect the estimates in the following three ways： after the break the elasticities became higher than 1, there is more evidence of cointegration, and the adjustment coefficients are significant only when a change in the long run is allowed.

The Research about the Trans-provincial Centralized Bidding Trading Market of East China Power Grid --I:Empirical Analysis

The clearing price and bidding price in electricity market are two key indicators to measure whether it is reasonable or not. Based on the grey incidence analysis, this paper studies the correlation coefficient between the clearing price and bidding price with the generation cost, the supervision and rules of the market, the supply and demand situation, the behavior of market members over the same period, which is based on the actual data of the trans-provincial centralized trading market of East China Power Grid. The results show that the factors affecting the clearing price and bidding price from largest to smallest are generation cost, supervision and rules of the market, the supply and demand situation, the behavior of market members. The conclusion is that the trans-provincial trading platform of East China Power Grid is a reasonable regional market which can discover the market cost, and regulate the market supply and demand balance, and promote healthy competition.

Significance/ Principle and Aim of Transmission Pricing

This paper briefly describes the importance of transmission pricing, and different methods for recovering transmission cost, stimulating efficient use of transmission resources and attracting investment in transmission networks.

Pricing Mechanism of China’s Trans-regional and Trans-provincial Electricity Trading

With the large-scale development of Chinese electric power, the contradiction of China’s energy supply and demand that reverse distributed is very prominent, therefore, promoting electricity trading is one of the important measures to get optimized configuration of energy resources in nationwide. For the two kinds of trading method, the “power point to the grid” trading and the “grid to grid” trading, this paper designed pricing mechanism model, and took one area as an example, we analyzed the impact of the participants by using different pricing mechanism, and put forward reasonable policy proposals for China’s pricing mechanism of trans-regional and trans-provincial electricity trading.

Assessment of Initial Investment Valuation Methodology of Brazilian Power Transmissions Auction

This paper aims to assess the Initial Investment Valuation Methodology of the local regulator, facing the results of auctions, due to the high occurrence of low clearing prices observed from 2003 to 2008 and the high percentage of auctions without any bidder recently. The regulator investment forecasted defines the maximum value of Yearly Allowed Revenue and the bidder that offers the lowest YAR value wins the auction. The first type of analysis considers project cost, location, execution deadline, transmission line extension and type of all actions from 1999 to 2015, totalling about 3.361 billion USD. It was not found any correlation of those variables and the result of the actions. The second analysis compared the equipment and the additional costs breakdown of the regulator investment forecast with the real investment in projects from 2009 to 2013 and it rarely surpasses 5%. Suggestions are proposed based on the analysis.

基于双边输电费和责权一致原则的输电管理方案

包括输电定价、阻塞管理、输电权交易等在内的输电管理方案是促进电力市场公平竞争和保障输电成本足额回收的重要手段。新型电力系统下,输电管理问题面临多个方面的挑战,包括是否和如何将一部分输电成本分摊给发电侧市场主体以引导可再生能源发电的投资选址,如何建立责权一致的输电管理方案,使得输电用户获得的相关权利与缴纳的输电费一致,以更好地引导发电和输电系统的协同规划。文中结合英国、欧洲、美国和中国输电管理方面的主要特点,并考虑多年、年、月、日等不同时间维度的输电服务交易,设计了一种基于双边输电费,按责权一致原则进行输电权分配的输电管理一揽子方案,包括规划阶段和运行阶段的输电定价、输电权分配、与电能量市场协调等方面内容。采用4节点系统和IEEE 30节点系统算例,验证了所提基于双边输电费和责权一致原则的输电管理方案能有效引导不同用户在电网中的选址投资,并实现全系统的最优规划。

新世纪以来国际铁矿石价格波动及对中国的启示

结合国际铁矿石市场基本概况及新世纪以来铁矿石价格波动的演变历程,分析国际铁矿石价格相关内容,探讨国际铁矿石期货市场现状及中国在铁矿石国际贸易中的地位。从钢铁行业、经济传导效应、通货膨胀视角分析国际铁矿石价格波动对中国宏观经济的影响,并提出相关建议。要从提升国内铁矿石资源保障能力,建立国内大循环回收利用体系,构建多元进口供应体系,完善商品定价基准监管制度入手,促进中国铁矿石期货交易市场的深化发展,以有效应对国际铁矿石价格的波动,稳定市场铁矿石供应。

中国煤炭价格与碳排放权交易价格的传导路径研究

碳市场作为新兴市场易受能源价格因素干扰,在“双碳”目标下研究煤炭价格与碳排放权交易价格(以下简称为碳价)的传导路径,有利于碳市场的健康运行并助力其发挥减排作用。在梳理煤炭价格与碳价传导机理的基础上,利用DCC-GARCH模型揭示煤炭指数与碳价的动态关系,并运用VAR模型实证检验煤炭价格与碳价的传导路径及能源消费结构、能源效率与动态相关系数的因果关系。实证结果表明:煤炭价格与碳价存在显著动态相关性,并呈现复杂性和多变性;碳市场尚未充分发挥其创新激励效应,相较于能源利用效率,煤炭价格与碳价通过能源消费结构路径实现的传导更加显著;能源消费结构调整是动态相关系数变化的格兰杰原因,而能源利用效率改变则不是。

能源基础设施建设与审计定价——来自特高压线路开通的准自然实验

本文旨在研究以特高压输电工程为代表的能源基础设施建设在降低能源供给不确定性、降低审计定价方面的积极作用。研究发现,特高压线路开通显著降低了企业审计费用,其作用渠道是降低了企业经营风险、审计风险和诉讼风险,提高了审计效率,进而降低了审计费用。异质性分析结果表明,特高压线路开通对审计费用的降低作用在所处行业或地区市场化环境较好、财务状况较差、公司代理成本较大以及审计师行业专长较强或审计业务较为复杂的企业中更为显著。本文为能源基础设施建设在促进跨区域要素流动、降低能源供给不确定方面的积极作用提供了微观证据,也为我国注册会计师行业的执业水平提升与高质量发展提供了决策参考。

电力市场化改革与全国统一碳市场建设关联协调发展的研究探索——基于交叉补贴和价格传导的双重视角

“电—碳”市场协同发展在推动能源清洁发展、应对气候治理方面具有重要作用,然而当前我国电力市场和碳市场运行相对独立,二者发展协调性亟待提高。鉴于此,基于交叉补贴和价格传导的双重视角,对电力市场中不同类型用户间的电价交叉补贴、电碳市场关联的价格传导效应以及碳市场的价格设计进行细致探讨具有重要理论意义,并且通过探讨设计电碳市场关联协调发展机制如何推动实现碳达峰、碳中和目标具有重要现实意义。具体来讲,电力市场化改革与全国统一碳市场建设关联协调发展可以从三个方面进行研究:第一,基于交叉补贴视角,明晰交叉补贴如何引致能源效率损失并降低社会福利;第二,围绕电力市场化改革和“双碳”目标,探讨电力市场价格扭曲导致的无谓损失如何影响碳排放,进而通过电力价格机制优化实现碳约束目标;第三,聚焦价格传导,在评估电力市场效率基础上考察电碳关联条件下碳价对电价的传导率,对不同场景下碳市场的碳价进行优化设计。深入探讨上述三方面问题将对驱动电力市场和碳市场协同发展,统筹推进碳达峰、碳中和具有重要的理论和现实意义。

全国统一电力市场演进过程下省间-省内市场出清及定价模型

为了促进电力资源在省间的余缺互济和在全国范围内的优化配置,我国正有序推进电力市场改革,逐步实现省间-省内市场的耦合和全国统一市场的演进。根据省间-省内市场耦合程度的不同,该文将演进过程划分为三个阶段:分层阶段、松耦合阶段和紧耦合阶段。进一步考虑跨区、跨省以及省内输电的输电费回收问题,跨区直流输电线路与区域内交流输电线路按照传输电量收费,省内线路按照用户负荷用电量收费。构建了面向不同输电费收取方式的出清模型与定价机制,分层阶段采用顺序出清,松耦合阶段采用双层迭代出清,紧耦合阶段采用统一出清,定价机制均采用节点电价定价机制。最后,利用IEEE 39节点和118节点系统进行仿真计算,验证了出清模型和定价机制的有效性,并分析了输电费对出清和定价结果的影响。

跨国跨州/跨省跨区输电定价机制及对中国专项工程定价的启示

中国资源禀赋和能源需求呈逆向分布,促进新能源资源在更大范围的优化配置是中国新型电力系统建设的内在要求。跨省跨区输电价格作为跨省跨区电力交易价格的重要组成部分,其定价机制的合理性不仅会影响输电工程投资成本的合理回收,还会影响电力市场竞争效率乃至资源在更大范围内优化配置。为此,在梳理中国及欧洲、美国典型电力市场跨省跨区和跨国跨州输电工程现状的基础上,对国际典型电力市场跨国跨州和跨市场输电定价机制的历史沿革和发展情况进行梳理,探究影响跨国跨州和跨市场输电定价的关键因素,并结合中国跨省跨区专项工程输电定价机制的发展沿革,分析了中国现行的跨省跨区专项工程输电定价机制在新型电力系统和全国统一电力市场体系建设的背景下将面临的问题,提出对中国跨省跨区专项工程输电定价的启示与未来发展方向。

省间电力现货交易优化设计与定价机制

在“碳达峰·碳中和”的目标驱动下,受新能源地理分布与随机性影响,以跨区域交易为媒介的区域间电能与灵活性互济重要性凸显。目前,中国正处于构建全国统一电力市场体系的关键阶段,需要有效的市场机制来管理省间电力现货交易。基于上述背景,设计了一种不依赖于跨区域投标者的省间电力现货交易方法。首先,提出了基于报价区的市场出清模型,采用分区边际定价的方法计算每个报价区的结算价格;然后,基于等效双边配对方法,按潮流贡献计算得到各区域间交易所需承担的输电费用;最后,采用算例验证了所提方法的有效性。与已有方法相比,所提方法在不依赖于跨区域投标者的前提下完成了跨区跨省电力交易,充分利用了输电线路容量,且市场出清过程中保护了各区域内部网架信息隐私。