Background:This paper examines the pattern of the volatility of the daily return of select commodity futures in India and explores the extent to which the select commodity futures satisfy the Samuelson hypothesis.Meth...Background:This paper examines the pattern of the volatility of the daily return of select commodity futures in India and explores the extent to which the select commodity futures satisfy the Samuelson hypothesis.Methods:One commodity future from each group of futures is chosen for the analysis.The select commodities are potato,gold,crude oil,and mentha oil.The data are collected from MCX India over the period 2004–2012.This study uses several econometric techniques for the analysis.The GARCH model is introduced for examining the volatility of commodity futures.One of the key contributions of the paper is the use of theβterm of the GARCH model to address the Samuelson hypothesis.Result:The Samuelson hypothesis,when tested by daily returns and using standard deviation as a crude measure of volatility,is supported for gold futures only,as per the value ofβ(the GARCH effect).The values of the rolling standard deviation,used as a measure of the trend in the volatility of daily returns,exhibits a decreasing volatility trend for potato futures and an increasing volatility trend for gold futures in all contract cycles.The result of the GARCH(1,1)model suggests the presence of persistent volatility and the prevalence of long memory for the select commodity futures,except potato futures.Conclusions:The study sheds light on significant characteristics of the daily return volatility of the commodity futures under analysis.The results suggest the existence of a developed market for the gold and crude oil futures(with volatility clustering)and show that the maturity effect is only valid for the gold futures.展开更多
本文以巴拉萨-萨缪尔森假说(Balassa-Samuelson Hypothesis,BSH)为分析框架,采用1995-2011年中国28个省份的面板数据,从中国整体及各区域层面研究了外商直接投资(Foreign Direct Investment,FDI)通过技术进步对劳动生产率的传导作用,实...本文以巴拉萨-萨缪尔森假说(Balassa-Samuelson Hypothesis,BSH)为分析框架,采用1995-2011年中国28个省份的面板数据,从中国整体及各区域层面研究了外商直接投资(Foreign Direct Investment,FDI)通过技术进步对劳动生产率的传导作用,实证分析了外商直接投资对人民币实际汇率的影响。结果表明,整体来看中国的FDI流入通过提高贸易部门的相对劳动生产率促进人民币实际汇率升值,符合巴拉萨-萨缪尔森效应。分区域的结果发现,FDI对人民币汇率存在区域差异,东部地区FDI对人民币汇率具有反向作用,而在中西部,FDI则会使人民币存在升值压力。实证结果表明,我国应大力提升服务业生产率,印证了我国经济转型、产业升级的必要性和迫切性。在制定我国的引资政策时,一方面应考虑区域差异,另一方面应加强与产业政策、贸易政策的协调,促进国家整体经济福利的提高。展开更多
文摘Background:This paper examines the pattern of the volatility of the daily return of select commodity futures in India and explores the extent to which the select commodity futures satisfy the Samuelson hypothesis.Methods:One commodity future from each group of futures is chosen for the analysis.The select commodities are potato,gold,crude oil,and mentha oil.The data are collected from MCX India over the period 2004–2012.This study uses several econometric techniques for the analysis.The GARCH model is introduced for examining the volatility of commodity futures.One of the key contributions of the paper is the use of theβterm of the GARCH model to address the Samuelson hypothesis.Result:The Samuelson hypothesis,when tested by daily returns and using standard deviation as a crude measure of volatility,is supported for gold futures only,as per the value ofβ(the GARCH effect).The values of the rolling standard deviation,used as a measure of the trend in the volatility of daily returns,exhibits a decreasing volatility trend for potato futures and an increasing volatility trend for gold futures in all contract cycles.The result of the GARCH(1,1)model suggests the presence of persistent volatility and the prevalence of long memory for the select commodity futures,except potato futures.Conclusions:The study sheds light on significant characteristics of the daily return volatility of the commodity futures under analysis.The results suggest the existence of a developed market for the gold and crude oil futures(with volatility clustering)and show that the maturity effect is only valid for the gold futures.
文摘本文以巴拉萨-萨缪尔森假说(Balassa-Samuelson Hypothesis,BSH)为分析框架,采用1995-2011年中国28个省份的面板数据,从中国整体及各区域层面研究了外商直接投资(Foreign Direct Investment,FDI)通过技术进步对劳动生产率的传导作用,实证分析了外商直接投资对人民币实际汇率的影响。结果表明,整体来看中国的FDI流入通过提高贸易部门的相对劳动生产率促进人民币实际汇率升值,符合巴拉萨-萨缪尔森效应。分区域的结果发现,FDI对人民币汇率存在区域差异,东部地区FDI对人民币汇率具有反向作用,而在中西部,FDI则会使人民币存在升值压力。实证结果表明,我国应大力提升服务业生产率,印证了我国经济转型、产业升级的必要性和迫切性。在制定我国的引资政策时,一方面应考虑区域差异,另一方面应加强与产业政策、贸易政策的协调,促进国家整体经济福利的提高。
