Econ Papers Daily / 期刊论文
谷物市场中的库存意外与期货跨期价差
Inventory surprises and futures calendar spreads in grain markets
摘要
This article examines whether corn and soybean calendar spreads respond to unexpected changes in USDA ending stocks forecasts reported in WASDE. Consistent with the theory of storage, we find that positive inventory surprises move adjusted calendar spreads toward full financial carry (i.e., toward zero), whereas negative surprises make them more negative. Our results demonstrate that inventory news matters more when convenience yield is relatively high. In addition, we find that larger WASDE inventory surprises lead to greater volatility in calendar spreads. We also show that surprises generally move futures prices across the forward curve in the same direction, but nearby contracts respond more strongly than deferred contracts. Overall, our results confirm the value of WASDE reports and futures markets in efficiently allocating grain over time.
中文摘要
本文考察玉米和大豆日历价差是否对美国农业部在WASDE报告中公布的期末库存预测的意外变化作出反应。与仓储理论一致，我们发现正向库存意外使经调整的日历价差向完全金融持有成本（即向零）移动，而负向意外则使其更为负向。我们的结果表明，当便利收益相对较高时，库存消息更为重要。此外，我们发现WASDE库存意外越大，日历价差的波动性越高。我们还表明，意外通常会使期货价格沿远期曲线朝同一方向变动，但近月合约的反应强于远月合约。总体而言，我们的结果证实了WASDE报告和期货市场在跨期有效配置谷物方面的价值。