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| Registros recuperados: 337 | |
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| Abitante, Kleber Giovelli. |
| One of the measures of future markets’ efficiency is its linkage with the spot market. The objective of this paper is to verify the existence of a statistical linkage between spot market and the Brazilian Mercantile & Future Exchange (BM&F) live cattle future market and between spot market and the BM&F and Chicago Board of Trade (CBOT) soybean future market. In addition, an efficiency indicator for the BM&F live cattle future market was estimated. With regard to live cattle, the daily time series used was price of the future contracts with maturity month between January/05 and November/05 and for soybean, the price of the future contracts used was with maturity between March 2005 until September 2005 and November 2005. Concerning live... |
| Tipo: Journal Article |
Palavras-chave: Cointegration; Futures markets; Soybean; Live cattle.; Agribusiness; C32; Q1; Q11. |
| Ano: 2008 |
URL: http://purl.umn.edu/61272 |
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| Olivia, Susan; Gibson, John. |
| Indonesia is an emerging market for beef and cattle exports so estimates of income and price elasticities may help analysts predict future demands. In contrast to developed countries, where meat demand studies often use aggregate data, Indonesian studies rely on household surveys, with unit values (ratios of expenditures to quantities) used instead of market prices. Elasticities estimated from unit values can be subject to various quality and measurement error biases. In this paper, data from 29,000 households on Java are used to estimate a demand system for beef, chicken and other meat groups, and the extent of bias from commonly used estimation strategies is evaluated. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Demand and Price Analysis; D12; Q11. |
| Ano: 2003 |
URL: http://purl.umn.edu/58195 |
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| Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria. |
| This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between commodities are present and the conditional correlations among commodities are high and time-varying. |
| Tipo: Working Paper |
Palavras-chave: Energy; Commodities; Futures Markets; Financial Speculation; Multivariate GARCH; Financial Economics; C32; G13; Q11; Q43. |
| Ano: 2012 |
URL: http://purl.umn.edu/122868 |
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| Mela, Giulio. |
| This work assesses the extent to which h the Fischler reform of the CAP increased the elasticity of price transmission (EPT) between the world and the European agricultural commodity markets. Commodities considered are soft and durum wheat, corn, feed barley, and butter. Results show that the reform increased ETP for all commodities even though with different magnitude. Before reform implementation (January 2007), the ETP was almost zero (meaning market isolation) for soft wheat, feed barley, and butter, while it was relatively low (0.4) for corn and durum. After January 2007, the EPT increased to almost unity (perfect transmission) for soft wheat and barley, to 0.9 and 0.8 for durum and corn, and to 0.5 for butter, which had historically been amongst the... |
| Tipo: Presentation |
Palavras-chave: Price transmission elasticity; Fischler reform; Structural breaks; Agricultural commmodity prices; International Relations/Trade; Q11; Q18; Q13; C22. |
| Ano: 2012 |
URL: http://purl.umn.edu/124107 |
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| Registros recuperados: 337 | |
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