Title

美國大宗穀物期貨價格時間序列分析-短期預測模型之比較

Translated Titles

Time Series Analysis of Grain Futures Prices: Comparison of Short Term Forecasting

DOI

10.6342/NTU.2008.00330

Authors

翁靖迪

Key Words

大宗穀物期貨價格 ; 預測力 ; VAR模型 ; GARCH模型 ; Wilcoxon符號順序檢定 ; 衝擊反應函數 ; 預測誤差變異數分解 ; Grain futures prices, Forecasting ; VAR ; GARCH ; Wilcoxon ; Forecast error variance decomposition ; Impulse response function

PublicationName

臺灣大學農業經濟學研究所學位論文

Volume or Term/Year and Month of Publication

2008年

Academic Degree Category

碩士

Advisor

陳郁蕙

Content Language

繁體中文

Chinese Abstract

本研究主要目的在於利用單變量以及多變量之時間序列方法估計大宗穀物期貨價格,並且比較短期之下時間序列模型預測力之優劣。在預測力的考量之下,同時估計經過差分與未經差分之VAR模型。故本研究係比較三種預測模型-ARMA-GARCH模型、未差分VAR模型及經一階差分後之VAR模型,分別進行美國CBOT期貨價格預測。接著以VAR模型在進行衝擊反應函數分析以及預測誤差變異數分解,藉此了解各種變數間的相互影響程度。 本研究以美國芝加哥期貨交易所所交易之2007年小麥、玉米及黃豆期貨契約之資料,進行期貨價格預測之實證分析。在VAR模型變數設定中,本研究加入西德州原油價格,藉以探討大宗穀物價格上漲連動性是否與油價有關。利用RMSE、MAE、MAPE與Theil U等四種常見預測力指標,對於ARMA-GARCH模型與兩種VAR模型進行預測力評比。實證結果發現,雖然ARMA-GARCH模型雖有相對較佳的預測力,但是並沒有在各個交易契約中有絕對的預測優勢。因此本研究又以無母數之Wilcoxon符號順序檢定驗證ARMA-GARCH模型統計上的預測優勢。而在衝擊反應函數可發現,原油價格領先了玉米期貨價格,並且顯著拉動黃豆與小麥期貨價格的上漲;同時穀物之間存在著明顯的價格連動性,尤其以玉米期貨價格對於小麥與黃豆價格正向帶動幅度最大。而在預測誤差變異數當中,可以發現玉米價格的預測誤差比例中,原油價格顯然佔了極高的比例,表示原油價格為這波大宗穀物的價格連動的主要引導角色。

English Abstract

The purpose of this thesis aims to establish short-term forecasting models for the futures prices of grains. ARMA-GARCH, level VAR, and differenced VAR model models are chosen here to analyze the dynamic interactions among wheat, soybeans and Corn traded in Chicago Board of Trade and the spot price of crude oil in the western Texas. Then, these interesting relations are applied to predict grain prices 3-month in advance. Judged purely by model forecastability, the empirical results have shown that the ARMA-GARCH model performs better than other two VAR models in the grain futures prices considered. The impulse response analysis and the forecast error variance decomposition further indicate that oil price directly impacts the futures prices of corn, and oil and corn prices later push the wheat and soybeans prices. In short, these grains are closely related with the rising oil prices which makes those grain futures prices go up.

Topic Category 生物資源暨農學院 > 農業經濟學研究所
生物農學 > 農業
Reference
  1. 朱浩民,1994。『期貨市場分析』。台北,華泰。
    連結:
  2. 陳隆麒、李文雄,1998。「臺灣地區房價、股價、利率互動關係之研究-聯立方程模型與向量自我迴歸模型之應用」,『財務金融學刊』。第5卷第4期,51-71。
    連結:
  3. 周鳳瑛、劉曦敏與柏雲昌,1998。「經濟沖擊對長期能源需求的影響—政策模擬之研究」,『經濟研究』。35:2,139-162。
    連結:
  4. Akaike, H., (1974), "A new look at the statistical model identification on AutomaticControl", IEEE, AC-19, pp.716-723.
    連結:
  5. Box, G. E. P., and Jenkins, G. M. (1976), Time Series Analysis Forecasting and Control.2 . San Francisico: Holden-Day.
    連結:
  6. Brandt, J.A. and D.A. Bessler (1985), "Composite forecasting: An Application of U.S. Hog Price", American Journal of Agricultural Economics, 63:135-140.
    連結:
  7. Brandt, J.A. (1985), "Forecasting and hedging: An illustration of risk reduction in the hog industry", American Journal of Agricultural Economics, 67:24-31.
    連結:
  8. Bollerslev, T. (1986), “Generalized autoregressive conditional heteroskedasticity”, Journal of Econometrics, 31, 307–327.
    連結:
  9. Baur, R.F., and P.E Orazem (1994), "The rationality and price effects of U.S. Department of Agriculture forecasts of oranges", Journal of Finance, 49:681-695.
    連結:
  10. Brown, Stephen P.A. and Yucel, Mine K. (1999), "oil prices and US. aggregate economic activity: a question of neutrality", Economic and Financial Review, 1999:2, 16-23.
    連結:
  11. Cox, C.C. (1976), "Futures trading and market information", Journal of Political Economy, 84:1215-1237.
    連結:
  12. Dicker, D.A. and W.A. Fuller(1979), "Distribution of the Estimators for Auto-Regressive Time Series with a Unit Root", Journal of American Statistical Association, 74, pp.427-431.
    連結:
  13. Emerson, EM., and W.G. Tomek (1969), "Did futures trading influence potato prices?", American Journal of Agricultural Economics, 51:666-672.
    連結:
  14. Engle, R. F. (1982), "Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. Inflation", Econometrica, 50:987–1008.
    連結:
  15. Eung, Cheol S. and Sangdal Shim (1989), "International Transmission of Stock Market Movement", Journal of Financial and Quantitative Analysis,24:2,241-256.
    連結:
  16. Gray, R.W. (1963), "Onions revisited", Journal of Farm Economics, 45:273-276.
    連結:
  17. Granger, Clive W. J.(1969), "Investigating causal relations by econometric models and cross-spectral methods, " Econometrica, 37, 424-438.
    連結:
  18. Granger, C.W.J and R.Ramanathan (1984), "Improved Methods of Combining Forecasts", Journal of Forecasting, 3:197-204.
    連結:
  19. Gilbert, C.L. (1985), "Futures trading and the welfare evaluation of commodity price stabilization", Economic Journal, 95:637-661.
    連結:
  20. Garcia, E, R.M. Leuthold, T.R. Fortenbery and G.E Sarassoro (1988), "Pricing efficiency in the live cattle futures market: Further interpretation and measurement", American Journal of Agricultural Economics,70:162-169.
    連結:
  21. Gelos, G. and R. Sahay (2000), "Financial Market Spillovers in Transition Economies", IMF Working Paper, WP/00/71.
    連結:
  22. Huang, R.D., Masulis, R.W.and Stoll, H.R.(1996) "Energy Shocks and Financial Markets", The Journal of Futures Markets, 16, 1-27, February.
    連結:
  23. Hondroyiannis, George, and Evangelia Papapetrou(2001), "Macroeconomic influences on the stock market," Journal of Economics and Finance, 25, iss. 1,33-49.
    連結:
  24. Jarque, C.M. and A.K. Bera, (1980), "Efficient tests for normality, homoscedasticity and serial independence of regression residuals", Economics Letters, 6, 255-59.
    連結:
  25. Just, R.E., and G.C. Rausser, (1981), "Commodity price forecasting with large-scale econometric models and the futures market", American Journal of Agricultural Economics, 63, 197-208.
    連結:
  26. Kawai, M. (1983), "Price volatility of storable commodities under rational expectations in spot and futures markets", International Economic Review, 24:435-459.
    連結:
  27. Kim, M., A. C. Szakmary, and T.V. Schwarz (1999), “Trading Costs and Price Discoveryacross Stock Index Futures, and Cash Markets”, The Journal of Futures Markets,19,475-489.
    連結:
  28. Ljung, G. and George Box, (1978), "On a Measure of Lack of Fit in TimeSeries Models." Biometrica 65 1978, 297-303.
    連結:
  29. Leuthold, R.M., and EA. Hartmann (1979), "A semi-strong form evaluation of the efficiency of the hog futures market", American Journal of Agricultural Economics, 61:482-489.
    連結:
  30. Lee, Hyun-Hoon, Hyeon-Seung Huh, and David Harris(2003), "The relative impact of the US and Japanese business cycles on the Australian economy," Japan and the World Economy, 15, iss. 1, 111-29.
    連結:
  31. Labys, Walter C., (2006), Modeling and forecasting primary commodity prices, Ashgate Publishing Limited.
    連結:
  32. Mulherin, J.H., LM. Netter and J.A. Overdahl (1992), "Prices are property: The organization of financial exchanges from a transaction cost perspective", Journal of Law and Economics, 34:591-644.
    連結:
  33. Powers, M.J. (1970), "Does futures trading reduce price fluctuations in cash markets?", American Economic Review, 60:460-464.
    連結:
  34. Samuelson, P.A. (1965), "Proof that Properly Anticipated Prices Fluctuate Randomly", Industrial Management Review, Vol.6, pp.41-49.
    連結:
  35. Schwart, G. W., (1978), "Estimating the Dimension of a Model", Annalsm of Statistics, (6), pp.461-464.
    連結:
  36. Sims, C. A. (1980), "Macroeconomics and Reality", Econometrica, 48:1-48.
    連結:
  37. Sumner, D.A., and R.A.E. Mueller (1989), "Are harvest forecasts news? USDA announcements and futures market reactions", American Journal of Agricultural Economics, 71:1-8.
    連結:
  38. Sadorsky, P.(1999), "Oil Price Shocks and Stock Market Activity", Energy Economics, 21, 449-469.
    連結:
  39. Sadorsky, P., (2003), "The Macroeconomic Determinants of Technology Stock Price Volatility", Review of Financial Economics, vol. 12, pp.191-205.
    連結:
  40. Turnovsky, S.J. (1979), "Futures markets, private storage, and price stabilization", Journal of Public Economics, 12, 301-327.
    連結:
  41. 王天賜,2004。「原油價格、台灣股價指數與總體經濟的關聯性」。碩士論文,國立東華大學國際經濟研究所。
  42. 杜元隆,1992。「國際股票市場股價關係之實證研究」。碩士論文,國立台灣大學財務金融研究所。
  43. 吳仁傑,1993。「股票指數變異數預測與模擬選擇權市場之分析」。碩士論文,國立台灣大學經濟研究所。
  44. 林恩右,1990。「台灣與國際股票市場價格變動關係之研究」。碩士論文,國立中山大學企業管理學系研究所。
  45. 林建甫與張焯然,1994。「ARCH族模型的估計檢定與台灣股票市場的實證」。手稿,國立台灣大學經濟系研究所。
  46. 林華德與王甡,1995。「台灣股市成交量對股價波動的影響1986-1994─GARCH修正模型的應用」,『企銀季刊』。19:2,40-58。
  47. 周業熙,2002。「GARCH-type模型在VaR之應用」。碩士論文,東吳大學經濟研究所。
  48. 洪啟堯,2006。「國際油價與股市對整合型原油公司之影響-以美國為例」。碩士論文,國立中山大學財務金融研究所。
  49. 唐淑娟,2001。「台灣地區鳳梨零售價格預測之研究-灰預測、類神經網路與預測組合之應用」。碩士論文,國立屏東科技大學農企業管理研究所。
  50. 陳裴紋,1995。「台灣股票市場報酬率與波動性預測之研究—ARCH family模型之運用」。碩士論文,國立台灣大學財務金融學系研究所。
  51. 陳嬿如,1997。「股價指數期貨價格波動及基差波動與到期日間關係之探討」。碩士論文,國立台灣大學國際企業學研究所。
  52. 許志義、柏雲昌、劉曦敏與周鳳瑛,1997。「建立我國能源需求預測之研究─八十六年度期末報告」,經濟部能源委員會,台北。
  53. 黃巧婷,2000。「GARCH選擇權評價模型─理論與應用」。碩士論文,國立台灣大學財務金融研究所。
  54. 雷立芬,1995。「ARCH/GARCH模型之運用:蔬菜批發價格分析」,『農業與經濟』。第16期,13-30。
  55. 楊志平,2003。「灰預測、指數平滑法與預測組合的應用-以台灣地區鮮食鳳梨產地價格為例」。碩士論文,國立屏東科技大學農企業管理研究所。
  56. 楊奕農,2005。「時間序列分析─經濟與財務上之應用」。台北,雙葉。
  57. 劉健欣,1999。「台灣股市與美國股市關連性之實證研究」。碩士論文,淡江大學管理科學所。
  58. 聶建中、林景春、詹凱婷,2004。「兩岸三地股價聯動性研究」,『輔仁管理評論』。第11卷第2期,63-82。
  59. 謝坤龍,2005。「台灣公債殖利率預測模型之建構- 調適性網路模糊推論系統與灰預測之應用」。碩士論文,東吳大學經濟研究所。
  60. 陳郁蕙,2007。「台灣地區小麥、玉米與大豆市場供需及國際市場趨勢之研究」。雜糧發展基金會,台北。
  61. Aradhyula, S.V. and M.T. Holt (1988), "GARCH Time-Series Mode: An Application to Retail Livestock Price", West. J. of Agri Econ, 13 365-74.
  62. Huang, Chao-His(1989), "Post-war Taiwan business cycle: evidence from international factor, " ,Taiwan Economic Review, 17:1,1-19.
  63. Pankratz, A. (1983), Forecasting with univariate Box-Jenkins models: Concepts and cases. New York: John Wiley.
  64. Taylor, G.S., and R.M. Leuthold (1974), "The influence of futures trading on cash cattle price variations", Food Research Institute Studies, 13,29-35.
  65. Williams, J.C. (1982), "The origin of futures markets", Agricultural History, 56:306-316.
Times Cited
  1. 張青斌(2012)。飼料定價策略與採購決策之相關性研究—以飼料黃豆粉為例。中興大學行銷學系所學位論文。2012。1-141。 
  2. 容萍(2011)。灰預測應用於台灣蔬果產地價格之分析─以愛文芒果為例。成功大學企業管理學系碩士在職專班學位論文。2011。1-52。 
  3. 葉毓琪(2009)。原油及大宗穀物之波動關係與避險策略分析。中原大學國際貿易研究所學位論文。2009。1-79。 
  4. 蘇怡菁(2010)。國際穀物價格波動對毛豬飼料與毛豬產地價格傳遞效果之研究。臺東大學社會科教育學系碩士班學位論文。2010。1-52。 
  5. 陳玟樺(2011)。羽絨產業原物料價格預測模式之研究。臺北科技大學商業自動化與管理研究所學位論文。2011。1-330。
  6. 詹雅絢(2013)。總體經濟指標與進口穀物價格之關聯性研究。中興大學應用經濟學系所學位論文。2013。1-72。
  7. 包孟晨(2016)。農產期貨價格與台灣股市之關聯性研究。中興大學農業經濟與行銷碩士學位學程學位論文。2016。1-62。
  8. 黃冠甄(2016)。VIX指數、美元指數及石油期貨價格對黃豆期貨價格及對咖啡期貨價格之影響。中原大學企業管理研究所學位論文。2016。1-88。