英文标题：
《Discretion versus Policy Rules in Futures Markets: A Case of the
Osaka-Dojima Rice Exchange, 1914-1939》
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作者：
Mikio Ito, Kiyotaka Maeda, and Akihiko Noda
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最新提交年份：
2018
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英文摘要：
We investigate the relationship between market efficiency of rice futures transaction in Osaka and the Japanese government intervention in rice distributions by directly buying and selling rice during the interwar period, from the middle 1910s to 1939, considering the context of \"discretion versus rules.\" We use a time-varying VAR model to compare market efficiency and the government\'s actions over time. We found the two facts by featuring the time-varying nature of the market efficiency. First, the intervention with discretionary power disrupted the rice market and reduced market efficiency in the exchange. Second, the market efficiency improved in accordance with reduction in the government\'s discretionary power to operate the rice policy. When the government obtained the discretionary power to operate the policy regarding commodity market, the market efficiency often reduced. Conversely, even if the government implemented a large-scale intervention, the market efficiency improved when the government chose a systematic rule-like behavior following the law.
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中文摘要：
我们考察了大阪大米期货交易的市场效率与日本政府在1910年代中期至1939年间通过直接买卖大米对大米分配的干预之间的关系，考虑到“自由裁量权与规则”的背景我们使用时变VAR模型来比较市场效率和政府行为随时间的变化。我们通过分析市场效率的时变性发现了这两个事实。首先，自由裁量权的干预扰乱了大米市场，降低了交易所的市场效率。第二，随着政府自主经营大米政策权力的减少，市场效率有所提高。当政府获得自由裁量权来操作商品市场政策时，市场效率往往会降低。相反，即使政府实施了大规模干预，当政府选择了一种系统的有法可依的规则行为时，市场效率也会提高。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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