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| Joseph, Kishore; Irwin, Scott H.; Garcia, Philip. |
| We investigate storage in the presence of backwardation and the existence of the Working curve for CBOT corn, soybeans, and wheat markets and the KCBOT wheat market using recent data, 1990-2010. Incorporating Telser’s concept of the cost of carry, we employ two measures of the spread—the percent of full carry for futures-futures and futures-spot (maximum) spreads which are adjusted for interest and storage rates. Both spreads are calculated relative to the next nearby futures contract and are matched with closest weekly deliverable stock information available at the delivery locations for the contracts. Our findings indicate that storage at a loss is pervasive both in terms of the percent of observations that exhibited storage at a loss, and the magnitude... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Storage; Backwardation; CBOT; KCBOT; Corn; Soybean; Wheat.; Agribusiness; Demand and Price Analysis. |
| Ano: 2011 |
URL: http://purl.umn.edu/103888 |
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| Geyser, Mariette; Cutts, Michela. |
| Commodity prices in general are known to have a high volatility. This is in fact what attracts speculators. The South African futures exchange (SAFEX) is not immune to this volatility. Volatility increases the risk of paying higher prices for a specific commodity, and it also makes the use of derivative instruments to hedge against price risk more expensive. Given the importance of South Africa as a regional supplier of maize and price discovery mechanism, investigations into the volatility of the maize price are not only important, but also indispensable if all parties involved are to manage this risk. The question therefore is whether the SAFEX maize price volatility can be explained by using fundamental factors or whether this volatility is... |
| Tipo: Journal Article |
Palavras-chave: Derivative; Price volatility; Call option; Hedging; Food risk; SAFEX; CBOT; Demand and Price Analysis. |
| Ano: 2007 |
URL: http://purl.umn.edu/8009 |
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