英文文献：Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand-空间分离市场中玉米和大豆的基本波动:乙醇需求的影响
英文文献作者：Bekkerman, Anton,Pelletier, Denis
英文文献摘要：
The 2006 spike in corn-based ethanol demand has contributed to the increase in basis volatility in corn and soybean markets across the United States, which has, to a significant degree, led to the observed large jumps in the prices of the two commodities. Despite the overall rise in basis volatility, there remain differences in the degree of volatility that exists across spatially separated markets, which might be caused by factors such as transportation costs, seasonality, and time-to-delivery. The focus of this study is threefold first, this work models basis data for six corn and soybean markets by using a multivariate GARCH model that incorporates the spatial linkages of these markets; next, the model is used to investigate whether the increase in ethanol demand has significantly aided in the rise of basis volatilities; and last, the spatio-temporal linkages among basis volatilities in different markets are examined under various scenarios of spot-price shocks.

2006年玉米乙醇需求激增，导致美国玉米和大豆市场基础波动加剧，这在很大程度上导致这两种大宗商品的价格大幅上涨。尽管基础波动率整体上升，但存在于空间分离市场的波动程度的差异，这可能是由运输成本、季节性和交付时间等因素造成的。本研究的重点有三个方面:首先，本工作通过使用包含这些市场空间联系的多变量GARCH模型为6个玉米和大豆市场建立基础数据模型;接下来，该模型用于研究乙醇需求的增加是否显著促进了基础波动率的上升;最后，在不同的现货价格冲击情形下，研究了不同市场基础波动之间的时空联系。