大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

"New mechanism of market price observation: liquidity and leptokurtic return distributions", "Common dynamic factors driving metal and energy prices"

神楽岡優昌　（武蔵大学）

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4. "New mechanism of market price observation: liquidity and leptokurtic return distributions", "Common dynamic factors driving metal and energy prices"

大証寄附研究部門セミナーシリーズ 第27回

"New mechanism of market price observation: liquidity and leptokurtic return distributions", "Common dynamic factors driving metal and energy prices"

神楽岡優昌　（武蔵大学）

Topic 1: New mechanism of market price observation: liquidity and leptokurtic return distributions

The model assumes a hidden price and an observable market price; The latter price is updated and equalized to the former price when the change in the hidden process exceeds a threshold.
The level of the threshold is proportional to liquidity. The resulting observed returns have a leptokurtic distribution. The kurtosis of the return distribution is proportional to the level of threshold as well as liquidity. Our model is confirmed by studying spot rate processes of two kinds of Japanese Government Bonds (JGBs), liquid and illiquid ones.

Topic 2: Common dynamic factors driving metal and energy prices

Price booms in the metal and energy markets over the past ten years are controversial issues; how many factors drive the metal and energy prices, and which macroeconomic factors explain the price variations? To disentangle movements of metal and energy prices, the generalized dynamic factor model of Forni et al. (2000) is applied. The model can incorporate the lead/lag structures in commodities prices and the spillover effects. Commodities prices are expressed as a combination of common and idiosyncratic components. Using 118 series of metal and energy monthly prices from 2000 to 2010, it is found that the number of common dynamic factors is q = 3 and the first three common factors explain more than 75% of their variations. As examination of the individual metal and energy returns shows that the ratios of variance explained by the common factors are high. We conjecture that one of the factors is crude oil.