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來源文獻資料
摘要
外文摘要
引文資料
題名:
穀物市場不確定因素估測及其對時間價差影響之分析
書刊名:
農業經濟叢刊
作者:
簡立賢
作者(外文):
Chien, Li-hsien
出版日期:
2000
卷期:
5:2
頁次:
頁191-222
主題關鍵詞:
穀物期貨市場
;
時間價格逆轉現象
;
實質選擇權估價模型
;
時間決策分析
;
Commodity market
;
Backwardation
;
Real option pricing evaluation model
;
Timing decision analysis
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:0
點閱:13
本文引入「實質選擇權定價評估法(ROPE)」以估算不確定性因子對於農場主在玉 米商品儲銷決策的影響。透過對1988年至1997年美國中西部六個州區位的玉米好資料,分 析資料顯示ROPE模型的確可以描述不確定性因素的存在,並予以適當評價。並透過多點供 需模式,檢定不確定性等因素對玉米市場中價格差額的影響。 時間價格逆轉現象(backwardation)由於存在負的運送成本項,一直為相關商品市場研 究學者所關切。本文在不確定性衡量後,進而將之引入「時間價格逆轉現象」課題的討論。 實證所得結果與過去相關研究一致。統計證據上顯示,交易成本、不確定性、季節性以及外 生需求衡擊等因素,對價格離散程度(逆轉現象的程度)具有顯著異於零的影響。前三項變 數的係數值為正,顯示當這些變數值增加時,時間上價格差額的規模會隨之擴大。然而菟險 偏好指數對時間價差的影響則相當有限。
以文找文
The Real Option Pricing Evaluation(ROPE) model is applied to measure the effects of uncertainty in store/sell decision of farm operators for corn commodity. The empirical evidences reveal that the degree of uncertainty in the decision of farm managers can be described and priced by the ROPE Model with the corn commodity quarterly data from the six Mid-West states in the U.S. during 1988 to 1997. Also, to consider the possible demand and the specific decision behavior for each local site, a multi-demand-multi-supply model is developed. The existence of the Backwardation has attracted considerable attention in the related commodity market research because of the negative carrying cost puzzle. After evaluating uncertainty related with space and time by adopting the ROPE approach, this study extends existing research by considering local market reaction and uncertainty. The empirical outcomes are consistent with those results in previous research. Based on the statistical evidences, transaction costs, uncertainty, seasonality, and external trade impact are all statistically significant. Positive coefficients of the first three variables above imply that the size of the Backwardation expands if their values increase. Very little support for the role of risk aversion was found.
以文找文
期刊論文
1.
McDonald, R.、Siegel, D.(1986)。The Value of Waiting to Invest。The Quarterly Journal of Economics,101(4),707-727。
2.
Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。
3.
Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。
4.
Roll, Richard W.、Ross, Stephen A.(1980)。An Empirical Investigation of the Arbitrage Pricing Theory。Journal of Finance,35(5),1073-1103。
5.
Kaldor, Nicholas(1939)。Speculation and Economic Stability。The Review of Economic Studies,7(1),1-27。
6.
Working, H.(1949)。The Theory of the Price of Storage。The American Economic Review,39,1254-1262。
7.
Wright, B. D.、Williams, J. C.(1989)。A Theory of Negative Prices for Storage。The Journal of Futures Markets,9,1-13。
8.
Tesfatsion, L.、Veitch, J. M.(1990)。U. S. Money Demand Instability: A Flexible Least Squares Approach。Journal of Economic Dynamics & Control,14,151-173。
9.
Telser, L. G.(1960)。Futures Trading and the Storage of Cotton and Wheat。Journal of Political Economy,66,233-255。
10.
Lutkepohl, H.(1993)。The Sources of the U. S. Money Demand Instability。Empirical Economic,18,729-743。
11.
Marcus, A.(1984)。Efficient Asset Portfolios and the Theory of Normal Backwardation: A Comment。Journal of Political Economy,92,162-164。
12.
Koontz, S. R.、Garcia, P.、Hudson, M. A.(1990)。Dominant-Satellite Relationships Between Live Cattle Cash and Futures Markets。The Journal of Futures Markets,10,123-136。
13.
Kalba, R.、Tesfatsion, L.(1989)。Time-Varying Linear Regression via Flexible Least Squares。Computer Mathematical Application,17(8/9),1215-1245。
14.
Barry, P. J.、Collins, R. A.(1986)。Risk Analysis with Single-Index Portfolio Models: An Application to Farm Planning。American Journal of Agricultural Economics,68,152-161。
15.
Dusak, K.(1973)。Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premium。Journal of Political Economy,81,1387-1406。
16.
Brennan, M.(1985)。The Supply of Storage。The American Economic Review,48,50-72。
17.
Schmitz, A.、Rausser, G. C.、Carter, C. A.(1983)。Efficient Asset Portfolios and the Theory of Normal Backwardation。Journal of Political Economy,91,319-331。
18.
Binkley, J. K.、Benirschka, M.(1995)。Optimal Storage and Marketing Over Space and Time。American Journal of Agricultural Economics,77,512-524。
19.
Havenner, A.、Aoki, M.(1991)。State Space Modeling of Multiple Time Series。Econometric Reviews,10,1-59。
20.
Tamarkin, M.、Conine, T. E., Jr.、Baxter, J.(1985)。On Commodity Market Risk Premiums: Additional Evidence。The Journal of Futures Markets,5,121-125。
21.
Abel, Andrew B.(1985)。Inventories, Stock-outs and Production Smoothing。The Review of Economic Studies,52,283-293。
會議論文
1.
Fackler, P. L.、Frechette, D. L.(1997)。Agricultural Marketing on the Space-Time Continuum - An Investigation into the Cause of Commodity Price Backwardations。Toronto, Canada。
學位論文
1.
Chien, L. H.(1999)。Testing the Causes of Backwardation of Stochastic Prices in Grain Markets: A Real Option Valuation Approach,0。
2.
Salin, V. S.(1996)。Real Option Valuation when Risks are Co-Integrated,0。
圖書
1.
Dixit, Avinash K.、Pindyck, Robert S.(1994)。Investment Under Uncertainty。Princeton University Press。
2.
Williams, J. T.(1986)。The Economic Function of Futures Markets。The Economic Function of Futures Markets。New York, NY。
3.
White, K. J.(1997)。SHAZAM: User's Reference Manual, Version 8.0。SHAZAM: User's Reference Manual, Version 8.0。沒有紀錄。
4.
Sharp, W. E.(1996)。Portfolio Theory and Capital Markets。Portfolio Theory and Capital Markets。New York, NY。
5.
Keynes, J. M.(1930)。A Treatise on Money, Vol. 2: The Applied Theory of Money。A Treatise on Money, Vol. 2: The Applied Theory of Money。London, UK。
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