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Essays on theoretical and empirical studies of commodity futures markets

Zhou, Haijiang
http://rave.ohiolink.edu/etdc/view?acc_num=osu1110165219

Abstract Details

2005, Doctor of Philosophy, Ohio State University, Agricultural, Environmental and Development Economics.
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. 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. 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. 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. 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.
Matthew Roberts (Advisor)
Economics, Agricultural
Futures and options markets; cost of carry; supply of storage; convenience yield; unit root tests and cointegration tests

Recommended Citations

Citations

  • Zhou, H. (2005). Essays on theoretical and empirical studies of commodity futures markets [Doctoral dissertation, Ohio State University]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=osu1110165219

    APA Style (7th edition)

  • Zhou, Haijiang. Essays on theoretical and empirical studies of commodity futures markets. 2005. Ohio State University, Doctoral dissertation. OhioLINK Electronic Theses and Dissertations Center, http://rave.ohiolink.edu/etdc/view?acc_num=osu1110165219.

    MLA Style (8th edition)

  • Zhou, Haijiang. "Essays on theoretical and empirical studies of commodity futures markets." Doctoral dissertation, Ohio State University, 2005. http://rave.ohiolink.edu/etdc/view?acc_num=osu1110165219

    Chicago Manual of Style (17th edition)

osu1110165219
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© 2005, all rights reserved.
This open access ETD is published by The Ohio State University and OhioLINK.