穀物市場不確定因素估測及其對時間價差影響之分析

Uncertainty and Its Effects on Price: Time Spread in Grain Markets

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季資料，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衝擊等因素，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。然而風險偏好指數對時間價差的影響則相當有限。

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 al! 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.