交易场所：美国玉米市场的基本面、投机和信息（英）

PublicDisclosureAuthorized PublicDisclosureAuthorized PolicyResearchWorkingPaper10531 TradingPlaces Fundamentals,Speculation,andInformationinUSCornMarkets FranciscoArroyoMarioli DevelopmentEconomicsProspectsGroup July2023 PolicyResearchWorkingPaper10531 Abstract Whatexplainsthesurgeandplungecommoditymarketshaveundergoneinthepast20years?Arespeculatorstobeblamed?Dopricesreflectfullinformation?Thesearethemainquestionsaddressedinthispaper,inthecontextofthecornmarket.Thispaperformulatesandcalibratestwoquantitativemodelsofcornpricesformation.Thefirstmodelisdesignedtoexplainpricesinthelongrun(annualfrequency),whilethesecondmodelappliestopricesintheshortrun(quarterlyfrequency).Forthelong-runanalysis,thepaperfindsthatdeviationsoftheoreticalpricesfromobservedonesareverysmallafter1996,andbefore1996theycanbeexplainedbygovernmentintervention.Fortheshort-runanalysis,themodelisdesignedtomimicthe typicalseasonalityseeninagriculturalmarkets,incorporatesupplyanddemandshocksaswellasnewsshocks,andallowsforspeculativestoragedecisions.Thepaperfindsthatdemandandsupplyfundamentalscanaccountforaround52percentofpastpricechangesfrom1975to2016.Themodelalsoestimatestheimpactofinformationshockstoexplainanadditional18percentofquarterlydeviations.Finally,itfindsthatatleast30percentofshort-runpricechangesseemtohaveexplanationsotherthansupplyordemandfundamentalsorinformation,demonstratingthatwhenanalyzingquarterlydata,pricesdonotalwayscloselytrackfundamentals. ThispaperisaproductoftheProspectsGroup,DevelopmentEconomics.ItispartofalargereffortbytheWorldBanktoprovideopenaccesstoitsresearchandmakeacontributiontodevelopmentpolicydiscussionsaroundtheworld.PolicyResearchWorkingPapersarealsopostedontheWebathttp://www.worldbank.org/prwp.Theauthormaybecontactedatfarroyomarioli@worldbank.org. ThePolicyResearchWorkingPaperSeriesdisseminatesthefindingsofworkinprogresstoencouragetheexchangeofideasaboutdevelopmentissues.Anobjectiveoftheseriesistogetthefindingsoutquickly,evenifthepresentationsarelessthanfullypolished.Thepaperscarrythenamesoftheauthorsandshouldbecitedaccordingly.Thefindings,interpretations,andconclusionsexpressedinthispaperareentirelythoseoftheauthors.TheydonotnecessarilyrepresenttheviewsoftheInternationalBankforReconstructionandDevelopment/WorldBankanditsaffiliatedorganizations,orthoseoftheExecutiveDirectorsoftheWorldBankorthegovernmentstheyrepresent. ProducedbytheResearchSupportTeam TradingPlaces: Fundamentals,Speculation,andInformationinUSCornMarkets FranciscoArroyoMarioli Keywords:InformationAcquisition,MarketEfficiency,Commodities,AgriculturalDemand,AgriculturalProductivity JELcodes:G14,Q02,Q11 1Introduction Theobjectiveofthispaperistostudythefundamentalandnonfundamentaldeterminantsofcom-moditypricesoverthepastdecades.Theanalysisspecificallyfocusesoncornmarkets,forseveralreasons.Cornandsoybeansarethemainagriculturalcommoditiesintermsofproductionmarketvalue.Theyarethemosttradedcontractsinfuturesmarket(nexttocottonandwheat).Also,theUSistheworldleaderincornproduction,consumptionandexports.ItplaysasignificantroleinseveralstatesandsectorsoftheUSeconomy,tothepointwhereithasbeenconsideredastrategicsectorfortheUSgovernmentforalongtime.Priorto1995,theUSfederalgovernmentwouldregularlyinterveneinthesemarkets,usuallyseekingtoguaranteeminimumpricesforproducersbybuyingproduction.Inmorerecentyears,thegovernmenthasshifteditsinterventiontowardsthedemandsidebyincorporatingbiofuelmandatesinstead.Eitherpolicysignalsthissector'simportancetopolicymakersevenuntiltoday. Thispapercomparespricesdefinedbyfundamentalsversusobservedprices.Itdefinesfun-damentaldeterminantsofpriceasdemandandsupplyshocks.Thesemaybeeithercurrentorfuture.Futuredemandandsupplyshocksaffectcurrentpricesthroughinformationshocks(agentsacknowledgethatshockswilloccurinthefuture)thatchangecurrentinventoryholdingdecisions.Thispaperisdividedintotwoparts.Thefirstpartstudiesthecurrentdeterminantsofcornpricesatanannualfrequency,whilethesecondpartstudiestheshort-run,cyclicaldeterminants.Thefirstsectiondetermineshowannualpriceswouldhavechangedsolelybasedoncurrentdemandandsupplyshocks.Thereasonforthisissimplicity:thepapershowsthatevenwhenfocusingonlyoncurrentshocks,themodelfitsthedataverywell.Anyadditionalfeaturewouldonlyincreasetheperformanceofthemodel,thusmakingmyresultsonlystronger.Thesecondpartconstructstheoreticalpricesataquarterlyfrequency.Giventhatsupplyiszeroinsomequarters,themodelintroducesinventorypurchasesaspartofthemarket.Giventhatinventorypurchasesaremadewithinaprofitmaximizingscheme,expectations,andthereforefutureshocksthroughinforma-tion,startplayingakeyrole.Thepaperhenceintroducesinthissectionfutureshocksaspartoffundamental-determinedprices. Morespecifically,intheannualmodel,thepaperanalyzesthelong-runpricetrendfrom1975to2015.Itthensimulatesatheoreticalpricetimeseries,definedasthepricesuchthateach year'sdemandmatchessupplyor,inotherwords,apricesuchthatinventoryvariationsarezero.Moreover,itisevenpossibletoassumethatinventoriescouldreachzeroattheendoftheyear,giventhat,inpractice,