东北大学建校100周年
工商管理学院系列学术报告第59场
报告题目：Competitive trading in forward and spot markets under yield uncertainty
报告人：澳大利亚墨尔本大学 邵鲁生 副教授
主持人：hjc888黄金城 秦绪伟 教授
报告时间：2023年11月3日（周五）10:00 --12:00
腾讯会议号：594-620-524
报告摘要：
Many agricultural commodities are traded in both forward and spot markets. This paper studies the interplay of random yield and forward market in a hybrid market with spot and forward transactions. We examine two main questions: (a) How does yield uncertainty (yield risk and yield correlation) affect the equilibrium outcome in this hybrid market? (b) How does the existence of a forward market influence the firms' strategic behaviors and spot price volatility, and how does yield uncertainty mediate the role of the forward market? In our baseline model that considers two firms and no withholding behavior by the firms, it is found that as yield risk increases, firms may sell less in the forward market, and counterintuitively, higher yield risk may benefit firms and make the spot price less volatile. The existence of a forward market leads to greater spot price volatility; that is, a forward market destabilizes spot prices. We identify a mitigating effect of yield variability, but an enhancing effect of yield correlation, on the role of the forward market. Finally, we extend our baseline model to the case with more than two firms and the setting where the firms may withhold some products and demonstrate that some of the key results in the baseline model carry over to these extensions. Nevertheless, the firms' withholding behavior represents a new driving force that changes some results. For example, the decreasing trend of spot price volatility in yield risk disappears in the withholding model.
报告人简介：
Prof. Shao is an Associate Professor of Operations Management at The University of Melbourne. He is currently Director of Teaching Resources and Planning in the Department, and was previously Area Head of the Operations Management discipline. He has held visiting positions at leading universities in Asia, Europe and the US. His research interests include competition in supply chains, contracts and incentives, and more recently, sustainable operations. Prof. Shao's research has appeared in leading operations management journals, including Operations Research, Manufacturing & Service Operations Management, Production and Operations Management, Decision Sciences, and European Journal of Operational Research. He has won several awards in recognition of his excellence in research and teaching. He is currently an Associate Editor of Decision Sciences and serves on the Editorial Board of Production and Operations Management.
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