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zhouyu · 2023年08月27日

没搞懂这种题目,这种题目有没有题眼呢?看到哪个就选哪个理论?

NO.PZ2023041004000099

问题如下:

McNeil asks Falk to gather spot and futures price data on live cattle, wheat, and soybeans, which are presented in Exhibit 1. Additionally, she observes that (1) the convenience yield of soybeans exceeds the costs of its direct storage and (2) commodity producers as a group are less interested in hedging in the forward market than commodity consumers are.


Based on Exhibit 1 and McNeil’s two observations, the futures price of soybeans is most consistent with the:

选项:

A.insurance theory. B.theory of storage. C.hedging pressure hypothesis.

解释:

In Exhibit 1, the spot price of soybeans is less than the futures price. This observation can be explained only by the hedging pressure hypothesis. According to this hypothesis, hedging pressure occurs when both producers and consumers seek to protect themselves from commodity market price volatility by entering into price hedges to stabilize their projected profits and cash flows. If consumers are more interested in hedging than producers are, the futures price will exceed the spot price. In contrast, the insurance theory predicts that the futures price has to be lower than the current spot price as a form of payment or remuneration to the speculator who takes on the price risk and provides price insurance to the commodity seller. Similarly, the theory of storage also predicts that when a commodity’s convenience yield is greater than its direct storage costs, the futures price will be lower than the spot price.

没搞懂这种题目,这种题目有没有题眼呢?看到哪个就选哪个理论?

1 个答案

Lucky_品职助教 · 2023年08月30日

嗨,爱思考的PZer你好:


根据题目提供的信息,让我们来进一步分析这个情况:

  1. 现货的Convenience Yield大于储存成本: Convenience Yield是持有实物商品(如农产品)所带来的额外好处,例如在紧急供应不足时能够满足需求。当Convenience Yield大于储存成本时,这意味着持有实物商品会带来更多的好处,而不只是简单的避免存储成本。这通常发生在市场出现供应紧张的情况下,消费者更愿意持有实物商品以确保他们的需求能够满足。
  2. 消费者更在意Hedge: 题目中提到商品消费者更在意对冲,这意味着消费者更倾向于使用期货市场来保护自己免受市场价格波动的影响。

结合这两点,我们可以得出以下观察:消费者更愿意持有实物商品(因为Convenience Yield大于储存成本),并且消费者更在意使用期货市场进行对冲。由于消费者在期货市场中的对冲需求较高,期货价格可能会高于现货价格,以反映这种市场需求。

根据题目的描述,最符合情况的理论是Hedging Pressure Hypothesis(对冲压力假设)。这个假设关注不同市场参与者的套期保值行为如何影响期货价格。在这个情况下,消费者更积极地在期货市场中进行对冲,因此期货价格可能高于现货价格。

尽管存在Convenience Yield和储存成本之间的差异,但由于题目特别强调了消费者更在意对冲,因此Hedging Pressure Hypothesis在这种情况下更适用。

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NO.PZ2023041004000099 问题如下 McNeil asks Falk to gather spot anfutures prita on live cattle, wheat, ansoybeans, whiare presentein Exhibit 1. Aitionally, she observes th(1) the convenienyielof soybeans excee the costs of its restorage an(2) commoty procers a group are less interestein heing in the forwarmarket thcommoty consumers are. Baseon Exhibit 1 anMcNeil’s two observations, the futures priof soybeans is most consistent with the: A.insurantheory. B.theory of storage. C.heing pressure hypothesis. In Exhibit 1, the spot priof soybeans is less ththe futures price. This observation cexplaineonly the heing pressure hypothesis. Accorng to this hypothesis, heing pressure occurs when both procers anconsumers seek to protethemselves from commoty market privolatility entering into prihees to stabilize their projecteprofits ancash flows. If consumers are more interestein heing thprocers are, the futures priwill exceethe spot price. In contrast, the insurantheory prects ththe futures prihto lower ththe current spot pria form of payment or remuneration to the speculator who takes on the pririsk anprovis priinsuranto the commoty seller. Similarly, the theory of storage also prects thwhen a commoty’s convenienyielis greater thits restorage costs, the futures priwill lower ththe spot price. 老师,您好!这题既提到了现货的convenienyiel于储存 的成本,也提到了消费者更在意hee。到底该如何到底是哪个理论更占优呢?谢谢!

2023-08-20 10:28 1 · 回答