Data/hora: 11/06/2024 10:01:42

Provedor de dados: 	Research in Agricultural & Applied Economics (AgEcon Searh)	
País: 	United States	
Título: 	Futures Basis for Cotton:  Impact of Globalization and Structural Change	
Autores: 	MacDonald,   Stephen; Meyer,   Leslie A.	
Data: 	2009-04-29	
Ano: 	2009	
Palavras-chave: 	Basis; Futures markets; Cotton; Error-correction model; Agribusiness; Demand and Price Analysis; Marketing.	
Resumo: 	A model of commodity futures contract basis was developed based on Working’s theory of the price of storage.  An error-correction model was estimated for the basis for the InterContinental Exchange (ICE) #2 cotton contract maturing in December during 2000-08.  The model was also extended to incorporate the impact of changes in market activity that evolved as financial markets and commodity price behavior underwent significant changes after 2005.  The model captured the inversion of basis following the collapse of China’s crop in 2003, but the shock realized during 2008 may have been in part driven by one-time events not included in the model.  Estimates from the error-correction model suggest an extended period for the return of basis to equilibrium, spanning from about 1 ½ to 2 months.	
Tipo: 	Conference Paper or Presentation	
Idioma: 	Inglês	
Identificador: 	http://purl.umn.edu/49269	
Relação: 	Agricultural and Applied Economics Association&gt;2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin

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