用投机与乙醇需求建模食品价格飙升
文章 arXiv papers · 作者: Marco Lagi et al.
总结
本文提出一个动态量化模型，结合供需、投资者行为以及玉米转化为乙醇的过程，旨在解释食品价格变动。研究认为，仅用供需无法解释观察到的价格动态。在模型中，趋势跟踪投资者以及资金在大宗商品、股票和债券之间的转移都会影响商品价格，而乙醇转化则带来持续的需求压力。
作者将2007/2008和2010/2011的食品价格急剧峰值归因于投机性投资，并将较长期的上涨归因于乙醇需求。作者还考察粮食仓储机构如何制定价格，以质疑投机者无法影响粮价这一说法。本文将这两种假定的驱动因素都与监管变化和政策联系起来，但此摘要没有提供模型方程、数据详情、参数估计或独立验证。因此，应将其因果结论视为研究提出的主张，而非定论；摘录也没有量化各项机制的相对贡献。
核心观点
- 所提模型将食品供需与投资者行为和乙醇转化结合起来。
- 模型将趋势跟踪和跨资产类别配置转移视为投机影响商品价格的渠道。
- 研究将两次价格急剧飙升归因于投机，并将持续上涨趋势归因于乙醇相关需求。
- 作者认为，仅考虑供需的模型无法再现他们所考察的价格动态。
标签
全文
# The Food Crises: A quantitative model of food prices including speculators and ethanol conversion # The Food Crises: A quantitative model of food prices including speculators and ethanol conversion Recent increases in basic food prices are severely impacting vulnerable populations worldwide. Proposed causes such as shortages of grain due to adverse weather, increasing meat consumption in China and India, conversion of corn to ethanol in the US, and investor speculation on commodity markets lead to widely differing implications for policy. A lack of clarity about which factors are responsible reinforces policy inaction. Here, for the first time, we construct a dynamic model that quantitatively agrees with food prices. The results show that the dominant causes of price increases are investor speculation and ethanol conversion. Models that just treat supply and demand are not consistent with the actual price dynamics. The two sharp peaks in 2007/2008 and 2010/2011 are specifically due to investor speculation, while an underlying upward trend is due to increasing demand from ethanol conversion. The model includes investor trend following as well as shifting between commodities, equities and bonds to take advantage of increased expected returns. Claims that speculators cannot influence grain prices are shown to be invalid by direct analysis of price setting practices of granaries. Both causes of price increase, speculative investment and ethanol conversion, are promoted by recent regulatory changes---deregulation of the commodity markets, and policies promoting the conversion of corn to ethanol. Rapid action is needed to reduce the impacts of the price increases on global hunger.
在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0
此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。