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Commodity futures markets : dynamic interrelationships between financial asset markets, energy markets and traditional agricultural commodity markets

机译：商品期货市场：金融资产市场，能源市场和传统农产品市场之间的动态相互关系

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摘要

This doctoral thesis discerns the complicated dynamic interrelationships between financial asset markets, energy markets and traditional agricultural commodity markets. Recently, various factors have dramatically changed the economic relationships between these important markets which contributed to greater price volatility and complex price transmissions across these markets. Via the use of cointegration methodologies on stock and futures markets four price relationships have been scrutinized with respect to agricultural commodities and crude oil markets; crude oil and BRIC stock markets; crude oil, corn and ethanol markets; and Indian government sugar policy and global sugar and commodity futures indices. Crude oil futures are shown to be affecting mature commodity futures markets. Recently, policies encouraging biofuel production have changed the mechanisms of influence of crude oil futures prices on several agricultural commodity markets. It has been shown that co-movement is a dynamic concept and that some economic and policy development may change the relationship between commodities. Specifically, biofuel policy buffers the co-movement of crude oil and corn futures until the crude oil prices surpass a certain threshold. Consequently, the impact of crude oil price movements on heterogeneous BRIC economies is analyzed. Crude oil futures prices are found to have an impact on markets in two distinct manners. The first being the traditional impact of energy, being one of the main production factors, on the economies. In parallel, the information component of crude oil futures price fluctuations has an additional impact on the markets. In case of the complex relationships between crude oil, corn and ethanol futures markets, a strong relationship between crude oil and corn markets on one side, and crude oil and ethanol on the other has been found. In addition, corn futures market became more sensitive to volatility due to ethanol demand-sinks. Overall, the markets exhibit great dependency on information shifts. Consequent analysis of the Indian and global sugar and commodity indices futures offers additional insight on the bigger picture. The heterogeneous and complex Indian sugar policies, in combination of limited access and knowledge of futures markets, cause decoupling between the Indian sugar futures prices and the regional prices. Indian sugar futures markets are led by the information from global commodity markets. This division in price formation of Indian regional (spot) sugar markets and the futures markets indicates a distinct difference in the underlying price formation process. The main contributions of this research are: (i) novel use of threshold cointegration techniques to model policy interventions; (ii) inductive analytic design incorporates policy and regime changes that could affect price transmission; (iii) policy price interventions cause impaired functioning of the futures markets; and (iv) agricultural commodities and commodity markets in general are more than ever responsive to information flows and experience price and volatility spillover effects among themselves. Finally, it is hinted to reconsider futures markets theory, from the perspective that the decision-making process in futures markets is based on a priori situation or information.
机译：该博士论文揭示了金融资产市场，能源市场和传统农业商品市场之间复杂的动态相互关系。最近，各种因素极大地改变了这些重要市场之间的经济关系，从而导致更大的价格波动和这些市场之间复杂的价格传递。通过在股票和期货市场上使用协整方法，研究了关于农产品和原油市场的四个价格关系。原油和金砖四国股市；原油，玉米和乙醇市场；以及印度政府的食糖政策以及全球食糖和商品期货指数。原油期货显示出正在影响成熟的商品期货市场。最近，鼓励生物燃料生产的政策改变了原油期货价格对几个农产品市场的影响机制。事实表明，共同运动是一个动态的概念，某些经济和政策发展可能会改变商品之间的关系。具体而言，生物燃料政策可以缓冲原油和玉米期货的共同走势，直到原油价格超过特定阈值为止。因此，分析了原油价格走势对金砖四国异构经济体的影响。发现原油期货价格以两种不同的方式对市场产生影响。首先是传统的能源对经济的影响，它是主要的生产要素之一。同时，原油期货价格波动的信息成分对市场产生了额外的影响。在原油，玉米和乙醇期货市场之间的关系复杂的情况下，已经发现一方面原油和玉米市场之间存在紧密的关系，另一方面却发现原油和乙醇之间存在密切的关系。此外，由于乙醇需求下降，玉米期货市场对波动更加敏感。总体而言，市场表现出对信息转移的极大依赖。对印度和全球食糖和商品指数期货的后续分析为整体情况提供了更多见解。印度糖政策的异质性和复杂性，加上有限的市场准入和对期货市场的了解，导致印度糖期货价格与地区价格之间脱钩。印度食糖期货市场受到全球商品市场信息的引导。印度区域（现货）食糖市场和期货市场价格形成的这种区分表明了基础价格形成过程的明显差异。这项研究的主要贡献是：（i）阈值协整技术在政策干预模型中的新颖运用； （ii）归纳分析设计纳入了可能影响价格传导的政策和制度变化； （iii）政策价格干预导致期货市场功能受损； （iv）总体而言，农产品和商品市场对信息流动的反应比以往任何时候都更为敏感，而且它们之间还经历了价格和波动性溢出效应。最后，从期货市场的决策过程基于先验情况或信息的角度出发，建议重新考虑期货市场理论。

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    Natanelov Valeri;

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  • 年度 2014
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  • 正文语种 eng
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