Browsing APEC Staff Papers by Author "Yang, Jian"
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ItemAsset Storability and Hedging Effectiveness in Commodity Futures Markets(Department of Food and Resource Economics, 2002-06) Yang, Jian; Awokuse, TitusThis paper examines risk minimization hedging effectiveness for major storable and nonstorable agricultural commodity futures markets. Based on the error correction model – bivariate GARCH frameworks, some evidence is found that the hedging effectiveness is stronger for storable commodities than nonstorable commodities under consideration. The finding illustrates an important difference between storable and nonstorable commodities with regard to their hedging function. ItemThe Informational Role of Commodity Prices in Formulating Monetary Policy: A Reexamination(Department of Food and Resource Economics, 2002-06) Awokuse, Titus; Yang, JianThis paper reexamines the issue of whether commodity prices provide useful information for formulating monetary policy through the application of recent development in time series methodology developed by Toda and Yamamoto (1995). We found that commodity prices signals the future direction of the economy.