Applying the Multi-variable Threshold Model in American Agricultural Markets-Using Corn, Soybean and Wheat as an example
| Autor: | Hong-chang Hsieh, 謝宏昌 |
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| Rok vydání: | 2006 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 This article investigates the arbitrage function and price discovery in agricultural futures and spot prices. Using monthly data and multi-variable threshold model (MVTAR), we find that agricultural future and spot markets have a cointegration relationship. The traditional linear analysis result shows that the soybean’s futures and spot prices both significant contribute to the long-term equilibrium, but only futures prices significant contribute to the long-term equilibrium in corn and wheat market, and the price discovery result shows that there is a bi-direction information transmission between two markets. When we further use the nonlinear model in a complete region and two separate regions, we integrated the result and find that the futures and spot prices only significant contribute to the long-term equilibrium in arbitrage bounds, and the price discovery result shows that the futures and spot prices have a bi-direction feedback effect. Overall evidence suggests that the different data frequency and analysis commodity may the main factors affecting the futures and spot price relationship. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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