Linkages Among Commodity Futures Markets and Dynamic Welfare Analysis
构建了期货市场的动态福利指标，衡量市场在冲击后调整的准确性和速度对配置效率的影响。分析1981-1982年美国国债、汇率和农产品期货数据，发现农产品市场过度反应程度更大，但利率和汇率市场因规模更大，福利损失可能更严重。
This study constructs dynamic welfare measures for a system of futures markets that express the allocative efficiency of a particular market as a function of its accuracy and speed of adjustment following a shock to the system. The system comprises futures prices for T-bills, exchange rates (German mark, British pound, Canadian dollar and yen), and agricultural commodities (corn, wheat, and cotton) for delivery in 1981 and 1982. The results suggest that, although agricultural, exchange, and financial markets allover-react to a disturbance, agricultural markets do so to a much greater degree. Owing to their much greater size, however, the welfare loss arising from the overshooting is likely to be much larger for interest rate and exchange markets.