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交易场所：美国玉米市场的基本面、投机和信息（英）

农林牧渔2023-07-01世界银行郭***

AI智能总结

This paper examines the surge and plunge commodity markets that have occurred in the past 20 years, focusing on the corn market. The main questions addressed in the paper are whether speculators should be blamed, and if prices reflect full information. To answer these questions, the authors formulated and calibrated two quantitative models of corn prices formation.

The first model is designed to explain prices in the long run (annual frequency), while the second model applies to prices in the short run (quarterly frequency). The long-run analysis reveals that deviations of theoretical prices from observed ones are very small after 1996, and before 1996, they can be explained by government intervention.

The short-run analysis, on the other hand, finds that the theoretical prices are close to observed prices before 1996, but deviations become more pronounced after 1996. The authors suggest that the deviations might have implications for policy, as well as for the use of price indices.

In conclusion, the paper discusses the surge and plunge commodity markets in the corn market and aims to provide insights into whether speculators should be held responsible for these phenomena. The authors also formulated two quantitative models to understand the formation of corn prices and provided some suggestions for future policy and price index usage.

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,

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