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Establishing the Presence of a Risk Premium in the Cocoa Futures Market: An Econometric Analysis AgEcon
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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THE LAW OF ONE PRICE: DEVELOPED AND DEVELOPING COUNTRY MARKET INTEGRATION AgEcon
Yang, Jian; Bessler, David A.; Leatham, David J..
The Law of One Price (LOP) is important to models of international trade and exchange rate determination. This study investigates a variant of the LOP applied to developed and developing countries. The competing hypothesis are (1) that one price prevails in both developed and developing countries and (2) that one price prevails in developed countries and another single price in developing countries. Using data from an internationally competitive commodity (soybean meal), we found evidence favors the first hypothesis, although two large developing countries under study are active participants in regional trade integration, which may bias them against the first hypothesis.
Tipo: Journal Article Palavras-chave: Law of one price; Developing countries; Error-correction model; Directed graphs; Demand and Price Analysis.
Ano: 2000 URL: http://purl.umn.edu/15320
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Exchange Rate Sensitivity of Mexican Maize Imports from the United States AgEcon
Sarker, Rakhal; Jaramillo-Villanueva, Jose Luis.
Since the implementation of NAFTA in 1994 agri-food trade between Mexico and the United States grew substantially. While some analysts argue that NAFTA has contributed the most, others have emphasized the role played by exchange rate in this process. An attempt is made in this paper to address this issue by determining the extent to which NAFTA, expansion of the livestock sector, exchange rate and exchange rate variability have contributed to the expansion of Mexican maize imports from the United States from January 1989 to December 2004.
Tipo: Conference Paper or Presentation Palavras-chave: Maize trade; Exchange rate; Volatility of exchange rate; Livestock inventory; Cointegration analysis; Error-correction model; International Relations/Trade.
Ano: 2007 URL: http://purl.umn.edu/9864
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Futures Basis for Cotton: Impact of Globalization and Structural Change AgEcon
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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