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| Registros recuperados: 32 | |
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| Fortenbery, T. Randall. |
| This paper examines three invited papers focused on commodity prices. Public responses to high nominal commodity prices and perceived increases in price risk have ranged from attempts to assign blame, attempts to change contracting arrangements, and development of public policy that ‘‘protects’’ the market from future occurrences of unacceptable behavior. Interestingly, a result of increased commodity price volatility has suggested that futures markets no longer ‘‘work.’’ This is ironic given that futures markets initially came into existence as tools for managing the negative impacts of commodity price risk. In response to perceptions of market failure some are looking for strategies to regulate the who and how of futures trading. |
| Tipo: Journal Article |
Palavras-chave: Futures markets; Hedging; Price risk; Risk management; Speculation; Agribusiness; Agricultural Finance; Marketing; Risk and Uncertainty; G13; Q11; Q13; Q14. |
| Ano: 2009 |
URL: http://purl.umn.edu/53084 |
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| Manfredo, Mark R.; Libbin, James D.. |
| The fruit and vegetable industry does not have a risk management instrument or a well-structured price discovery system, such as commodity futures contracts, to aid in the marketing and management of its price risk. Since the 1980s, financial futures contracts based on indexes of stocks, commodities and currencies have been used to hedge these groups of assets. The purpose of this study was to apply the concept of index futures contracts to the produce industry by developing indexes based on prices of fruits and vegetables and to determine the hedging effectiveness of potential futures contracts written on these indexes. Twenty representative fruits and vegetables were chosen to compile indexes for fruits, for vegetables, and for fruits and vegetables... |
| Tipo: Journal Article |
Palavras-chave: Fruits; Vegetables; Futures markets; Index futures contracts; Agribusiness; Agricultural Finance; Marketing. |
| Ano: 1998 |
URL: http://purl.umn.edu/90431 |
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| Karali, Berna. |
| The value of USDA reports has long been a question of interest for researchers and practitioners. However, the impact of announcements on comovements across related commodity prices has not been explored beyond financial asset markets. This is important because the structure of the relationship between commodities could change depending on the type of information revealed in the announcement, thus affecting price perceptions, hedging ratios, and portfolio return variance. This study simultaneously measures the impact of selected USDA reports on the conditional variances and covariances of returns on corn, lean hogs, soybeans, soybean meal, and soybean oil futures contracts using a multivariate GARCH model. It is shown that the largest movements in... |
| Tipo: Article |
Palavras-chave: Announcement effects; Futures markets; Market efficiency; Multivariate GARCH; USDA reports; Agricultural Finance; Financial Economics; Political Economy. |
| Ano: 2012 |
URL: http://purl.umn.edu/122315 |
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| Nardella, Michele. |
| In recent years a number of market participants called into question the efficiency of the price discovery mechanism in commodity futures markets. They believe that speculators move commodity futures markets away from their fundamentals by distorting prices and exacerbating volatility. The smoking gun of these allegations is the empirical observation that speculative buying (selling) precedes movements in the cocoa futures markets. Among soft commodities, the cocoa futures market represents an interesting case study. In the last decades, speculators open interest is increased by nearly 4 times, fuelling the apprehension of practitioners and market analysts. This paper evaluates the efficiency of the price discovery mechanism in cocoa futures markets.... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Futures markets; Efficient market hypothesis; Speculation; Marketing. |
| Ano: 2007 |
URL: http://purl.umn.edu/7970 |
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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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| Martinez-Mejia, Pablo; Malaga, Jaime E.. |
| For years, the U.S. price of grain sorghum has been settled as 95% of the price of corn. Nevertheless, the increasing demand for corn and grain sorghum in ethanol production might have changed that price relationship. In this study, we use cointegration and the vector autoregressive model with independent variable (VARX) to assess the relationship between the spot price of sorghum in several U.S. markets and corn’s futures market price during the period 1996–2008. The results indicate a price relationship between the price of sorghum in the Gulf ports, Kansas City, and Texas, and corn prices of 1.01, 0.99, and 0.99, respectively. These new relationships are noteworthy for producers and other stakeholders. |
| Tipo: Journal Article |
Palavras-chave: Causality test; Cointegration; Futures markets; VARX model; Agribusiness; Marketing. |
| Ano: 2009 |
URL: http://purl.umn.edu/90656 |
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| Gohin, Alexandre; Cordier, Jean. |
| The role played by “speculators” during the 2007/08 food price spike is lively disputed. Our analysis focuses on the increasing participation of index funds in agricultural commodity futures markets before the food price spike. Our central theme is to determine if their prespike massive entry does prepare the subsequent crisis by maintaining low stock levels. We develop a theoretical model explaining the behaviour of speculators and traders on futures and cash markets. We allow index funds to inflict an informational externality on commercial traders that is supposed to induce a lower desire to hold stock. We find out that, once the production decisions of commercial traders are taken into account into the model, the increased net long position of index... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Futures markets; Commodity price; Index funds; Stocks; Food Consumption/Nutrition/Food Safety; Risk and Uncertainty. |
| Ano: 2010 |
URL: http://purl.umn.edu/91283 |
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| Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N.. |
| We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via the smoothed Bayesian estimator of Karali, Dorfman, and Thurman (2010). We show that the futures price volatilities in these markets are affected by the inventories, time to delivery, and the crop progress period. Some of these effects vary across delivery horizons. Further, it is shown that the price volatility is higher before the harvest starts in most of the cases compared to the volatility during the planting period. These results have implications for hedging, options pricing, and the setting of margin requirements. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Bayesian econometrics; Futures markets; Seasonality; Theory of storage; Volatility; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Consumer/Household Economics; Demand and Price Analysis; Farm Management; Financial Economics; Marketing; Research Methods/ Statistical Methods; Risk and Uncertainty. |
| Ano: 2009 |
URL: http://purl.umn.edu/53036 |
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| Lence, Sergio H.. |
| The present study advocates a simulation approach to analyze quantitatively the impact of having locally-based markets for price derivatives. A major result is that market outcomes do not appear to be sensitive to most of the underlying parameters of the model other than demand elasticity and transportation costs. For the case of inelastic demand, introduction of a futures market in a country provides domestic producers with a competitive edge if transportation costs. The most important insight of the present analysis is that, under realistic scenarios it need not be the case that local producers will gain a competitive edge over foreign producers by introducing a futures market based on the local spot prices. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Commodity markets; Derivative markets; Futures markets; Welfare analysis; Rational expectations; Marketing. |
| Ano: 2004 |
URL: http://purl.umn.edu/20371 |
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| Registros recuperados: 32 | |
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