- ニュース
- 2026年11月2日(月) に産研講演会「Waseda Organizational and Financial Economics Seminar : Shortages, Liquidity, and the Impact of Monetary Policy on Prices: Theory and Evidence from Commodity Markets」が開催されます。
2026年11月2日(月) に産研講演会「Waseda Organizational and Financial Economics Seminar : Shortages, Liquidity, and the Impact of Monetary Policy on Prices: Theory and Evidence from Commodity Markets」が開催されます。
Dates
カレンダーに追加1102
MON 2026- Place
- ハイフレックス開催
- Time
- 13:10～14:50
- Posted
- Tue, 20 Oct 2026
「Shortages, Liquidity, and the Impact of Monetary Policy on Prices: Theory and Evidence from Commodity Markets」（英語でのご報告）
| 日時 | 2026年11月2日（月）13:10~14:50 |
|---|---|
| 開催方法 | ①対面 ＊11号館 1212教室 ②Zoom＊お申込み完了の自動返信メールにて、参加用URLをお知らせいたします。 |
| 対象 | 学生・教職員・一般 |
| 講演者 | 佐藤 優紀 氏（東京大学 大学院経済学研究科附属金融教育研究センター 特任講師） |
| 要旨 | We find that monetary policy shocks have no significant effect on commodity futures prices when markets are in backwardation, that is, when futures prices lie below spot prices. Because backwardation signals supply constraints, reflecting a positive convenience yield that arises under tight supply or low inventories, this finding reveals a new channel for understanding the effects of monetary policy under supply shortages. Our model to investigate this mechanism relies on the inventory arbitrage of commercial traders and the rational inattention of financial traders, which together replicate the higher price response to the aggregate demand shock under ample inventories than under tight inventories. To reinforce our empirical findings, we conduct two complementary analyses. The first tests the assumption that the basis is informative about storage conditions by constructing an Inventory Constraint Index, which closely tracks observed inventory data from the World Agricultural Supply and Demand Estimates and the U.S. Energy Information Administration. The second examines the liquidity channel, an alternative mechanism through which monetary policy may affect commodity futures markets. Both analyses support our interpretation: while illiquidity is priced through changes in interest rates, inventory tightness, as indicated by the basis, remains the primary transmission channel. |
| 世話人 | 谷川 寧彦（早稲田大学商学学術院 教授） |
| 参加申し込み方法 | 参加はこちらからお申込みください。※10月29日(木）17:00締切 |
| 共催 | 早稲田大学商学部・産業経営研究所・谷川寧彦分科会 |
- Tags
- イベント