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Essays on theoretical and empirical ...

Zhou, Haijiang.

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Essays on theoretical and empirical studies of commodity futures markets.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on theoretical and empirical studies of commodity futures markets./
作者:	Zhou, Haijiang.
面頁冊數:	126 p.
附註:	Source: Dissertation Abstracts International, Volume: 66-01, Section: A, page: 0277.
Contained By:	Dissertation Abstracts International66-01A.
標題:	Economics, Agricultural. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3162749
ISBN:	9780496963768

Essays on theoretical and empirical studies of commodity futures markets.
Zhou, Haijiang.

Essays on theoretical and empirical studies of commodity futures markets. - 126 p.

Source: Dissertation Abstracts International, Volume: 66-01, Section: A, page: 0277.

Thesis (Ph.D.)--The Ohio State University, 2005.

The three essays of this thesis research several theoretical and empirical issues of the commodity futures markets, specifically, the metals markets at the London Metal Exchange (LME) and the U.S. soybean and corn markets at the Chicago Board of Trade.

ISBN: 9780496963768Subjects--Topical Terms:

626648
Economics, Agricultural.

Essays on theoretical and empirical studies of commodity futures markets.
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100 1 $a Zhou, Haijiang. $3 1914059
245 1 0 $a Essays on theoretical and empirical studies of commodity futures markets.
300 $a 126 p.
500 $a Source: Dissertation Abstracts International, Volume: 66-01, Section: A, page: 0277.
500 $a Adviser: Matthew C. Roberts.
502 $a Thesis (Ph.D.)--The Ohio State University, 2005.
520 $a The three essays of this thesis research several theoretical and empirical issues of the commodity futures markets, specifically, the metals markets at the London Metal Exchange (LME) and the U.S. soybean and corn markets at the Chicago Board of Trade.
520 $a Chapter two examines the cost of carry theory for five metals at the London Metal Exchange (LME). A quad-variate cointegration model is constructed and empirical results show that a long run relationship exists for cash and 3-month metals futures prices, 3-month interest rates and physical storage costs. The finding reconciles previously inconsistent findings regarding the cointegration of temporal prices in the presence of non-stationary interest rates.
520 $a Chapter three updates the measurement of the supply of storage model and develops a two-equation system model which consists of the supply of storage equation and the price spread-convenience yield equation. Three stage least squares (3SLS) estimation method and bootstrapping 3SLS are applied to the CBOT soybeans data and results reveal that convenience yield and variability of new crop futures might play key roles in making storage decisions during the crop year.
520 $a Chapter four develops a new measurement of the stock (inventory)-price relationship for commodity markets by constructing an equally weighted ending stocks-use ratio. A fully specified polynomial function is developed with consideration of three policy regimes due to the 1985 and 1996 US farm policy reforms. Model selection is conducted from both the fitting perspective and the forecast perspective. Results show that grain market analysts may benefit from using the proposed new measurement for forecasting prices.
520 $a In summary, this study contributes to the understanding of the theoretical and empirical issues of the commodity futures markets, including the cost of carry theory, the supply of storage theory and the convenience yield theory.
590 $a School code: 0168.
650 4 $a Economics, Agricultural. $3 626648
690 $a 0503
710 2 0 $a The Ohio State University. $3 718944
773 0 $t Dissertation Abstracts International $g 66-01A.
790 1 0 $a Roberts, Matthew C., $e advisor
790 $a 0168
791 $a Ph.D.
792 $a 2005
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