NO.PZ201720190200000105
问题如下:
5.Based on the key conclusion from the Menlo Bank coffee market report, the shape of the coffee futures curve in Exhibit 2 is most consistent with the:
选项:
A.insurance theory.
B.theory of storage.
C.hedging pressure hypothesis.
解释:
B is correct.
The theory of storage focuses on the level of commodity inventories and the state of supply and demand. A commodity that is regularly stored should have a higher price in the future (contango) to account for those storage costs. Because coffee is a commodity that requires storage, its higher future price is consistent with the theory of storage.
考点:theory of storage理论
解析:在图表中的数据已经说明了,咖啡的远期期货价格时高于近期期货价格的,就是处于contango,期货溢价。题目让选出符合这种情况的理论是哪种。后面又给出信息说,今年coffee丰收了,这会带来很多的储存成本,而coffee并不是稀缺的原材料,所以convenience yield并不是很高,因此储存的成本会使得期货价格高于现货价格,符合theory of storage理论。
Insurance theory中consumer 和producer并不是平衡的关系,生产者愿意以更低的价格锁定未来的卖出价格,往往会出现期货价格小于现货价格的情况。hedging pressure hypothesis中是consumer 和producer相互博弈,不平衡的关系,商品生产者在未来要要卖出商品,考虑到商品价格下降的风险,因此其卖出商品期货。与之相反,商品消费者则想要锁定他们要购买的商品价格,因此买入商品期货。如果生产者和消费者对商品价格的影响势均力敌,那么就会产生一条水平的期货价格曲线;如果生产者卖出期货的力量更强,期货价格曲线会呈现现货溢价的状态,如果消费者对买入期货的力量更强,那么期货价格曲线会呈现期货溢价。而题目中明确说了producers and consumers is balanced,所以不能用hedging pressure hypothesis 来解释。
就是解析中看到convenience yield这个表述,有点迷糊这个高和低会怎么影响期货?