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Armah, Stephen E.. |
Previous attempts at identifying and estimating a time-varying risk premium in the cocoa futures market yielded conflicting results. Using a longer series that includes the most recent cash and futures data, the existence of a time-varying risk premium in the cocoa futures market is re-investigated using LM ARCH tests and a Quadratic ARCH in Mean Error Correction Model. In contrast to available research the time series properties of the data are carefully accounted for by employing the most recent econometric techniques in testing for the presence of a risk premium. No evidence is found in support of a positive time-varying [or constant] risk premium in the cocoa futures market at conventional significance levels. The result suggests that cocoa producing... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Cocoa; Futures markets; Time-varying risk premium; Error-correction model; Agribusiness; Marketing; M. |
Ano: 2008 |
URL: http://purl.umn.edu/6778 |
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MacDonald, Stephen; Meyer, Leslie A.. |
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,... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Basis; Futures markets; Cotton; Error-correction model; Agribusiness; Demand and Price Analysis; Marketing. |
Ano: 2009 |
URL: http://purl.umn.edu/49269 |
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