Futures Commodity Prices and Electricity and Utility Stock Prices, 2005

The objective of the project was to provide econometric analysis and theory for modelling energy and soft commodity prices. This necessitated data analysis and modelling together with theoretical econometrics, dealing with the specific stylised facts of commodity prices. In order to analyse energy and soft commodity prices, the determination of spot energy prices in regulated markets was first considered, from the point of view of the regulator. Direct data analysis of futures commodity prices was then undertaken, resulting in the collection of an extensive dataset of most traded futures commodity prices at a daily frequency, covering 16 different commodities over a 10-year period. <br>

本项目旨在为能源与软商品（soft commodity）价格建模提供计量经济学分析与理论支撑。为此，研究需结合理论计量经济学开展数据分析与建模工作，针对商品价格的典型化事实（stylised facts）展开针对性研究。为分析能源与软商品价格，研究首先从监管者视角出发，探讨了受监管市场中的现货能源价格定价机制。随后，研究团队开展了商品期货价格的直接数据分析工作，最终收集得到一套日度频次、覆盖10年周期的高活跃度商品期货价格大规模数据集，涵盖16种不同商品。