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| Registros recuperados: 11 | |
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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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| Haigh, Michael S.; Holt, Matthew T.. |
| In many studies the assumption is made that traders only encounter one type of price risk. In reality, however, traders are exposed to multiple price risks, and often have several relevant derivative instruments available with which to hedge price uncertainty. In this study, commodity, foreign exchange, and freight futures contracts are analyzed for their effectiveness in reducing price uncertainty for international grain traders. A theoretical model is developed for a representative European importer to depict a realistic trading problem encountered by an international grain trading corporation exposed to more than one type of price risk. The traditional method of estimating hedge ratios by Ordinary Least Squares (OLS) is compared to the Seemingly... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Hedging; Multivariate GARCH; Foreign exchange; Freight and commodity futures; Marketing; F3; C3; G1. |
| Ano: 1999 |
URL: http://purl.umn.edu/23997 |
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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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| Ledebur, Oliver von; Schmitz, Jochen. |
| Since 2000 a number of factors impacted agricultural markets drastically. Among these are structural changes in global demand and repeated supply constraints that supported the observed positive development of agricultural prices. Given the increasingly interdependent global markets, the question arises of in how far an isolated view of a single market, when analysing price volatility, is sufficient? The paper is a contribution to the debate on the recent commodity price bubble and the relationship among commodity futures markets for agricultural raw materials. More particularly, the transmission of price volatility between commodity future markets is analysed. The background question is whether and to what extent the volatility of agricultural commodity... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Commodity Futures; Corn; Time Series; Price volatility transmission; Multivariate GARCH; Agricultural and Food Policy. |
| Ano: 2009 |
URL: http://purl.umn.edu/58136 |
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| Bekkerman, Anton; Pelletier, Denis. |
| The 2006 spike in corn-based ethanol demand has contributed to the increase in basis volatility in corn and soybean markets across the United States, which has, to a significant degree, led to the observed large jumps in the prices of the two commodities. Despite the overall rise in basis volatility, there remain differences in the degree of volatility that exists across spatially separated markets, which might be caused by factors such as transportation costs, seasonality, and time-to-delivery. The focus of this study is threefold first, this work models basis data for six corn and soybean markets by using a multivariate GARCH model that incorporates the spatial linkages of these markets; next, the model is used to investigate whether the increase in... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Basis; Spatially separated markets; Multivariate GARCH; Volatility; Agricultural Finance; Demand and Price Analysis; Q11; Q14; G13. |
| Ano: 2009 |
URL: http://purl.umn.edu/49281 |
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| Registros recuperados: 11 | |
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