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Registros recuperados: 32
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A TERM STRUCTURE MODEL FOR AGRICULTURAL FUTURES AgEcon
Fackler, Paul L.; Roberts, Matthew C..
An extension of Schwartz's model of futures price term structure that includes seasonality is developed. The approach allows futures prices for all maturities to be estimated simultaneously by exploiting arbitrage relationships. An application to wheat futures prices is presented.
Tipo: Conference Paper or Presentation Palavras-chave: Futures markets; Price analysis; Demand and Price Analysis; Marketing.
Ano: 1999 URL: http://purl.umn.edu/21543
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AN ANALYSIS OF FACTORS AFFECTING THE REGIONAL COTTON BASIS AgEcon
Seamon, V. Frederick; Kahl, Kandice H..
Few empirical basis studies have examined the basis in multiple regions and few have concentrated on cotton. This paper addresses this topic, examining consumption market factors that affect the cotton basis in five U.S. cotton production regions. The seemingly unrelated regression results indicate that the following factors are significant in explaining the basis: total U.S. cotton stocks and the ratio of foreign cotton stocks to foreign mill use in the Southeast and North Delta regions; regional stocks, the opportunity cost of storage and the foreign stocks to use ratio in the West Texas region; and regional stocks, total U.S. stocks, the opportunity cost of storage, and the foreign stocks to use ratio in the Desert Southwest and San Joaquin Valley...
Tipo: Conference Paper or Presentation Palavras-chave: Cotton basis; Futures markets; Marketing.
Ano: 2000 URL: http://purl.umn.edu/18924
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Analyzing Relationships Between Cash and Futures Dairy Markets Using Partially Overlapping Time Series AgEcon
Bozic, Marin; Fortenbery, T. Randall.
Replaced with revised version of paper 02/10/10.
Tipo: Conference Paper or Presentation Palavras-chave: Partially overlapping time series; Spectral analysis; Risk premium; Futures markets; Dairy policy; Dairy industry; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Q13; Q14; Q18.
Ano: 2010 URL: http://purl.umn.edu/56545
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Announcement Effects and the Theory of Storage: An Empirical Study of Lumber Futures AgEcon
Karali, Berna; Thurman, Walter N..
Replaced with revised version of paper on 06/11/07.
Tipo: Conference Paper or Presentation Palavras-chave: Theory of storage; Announcement effects; Event study; Futures markets; Commodity futures; Marketing.
Ano: 2007 URL: http://purl.umn.edu/9865
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Co-integração entre os mercados spot e futuro: evidências dos mercados de boi gordo e soja AgEcon
Abitante, Kleber Giovelli.
One of the measures of future markets’ efficiency is its linkage with the spot market. The objective of this paper is to verify the existence of a statistical linkage between spot market and the Brazilian Mercantile & Future Exchange (BM&F) live cattle future market and between spot market and the BM&F and Chicago Board of Trade (CBOT) soybean future market. In addition, an efficiency indicator for the BM&F live cattle future market was estimated. With regard to live cattle, the daily time series used was price of the future contracts with maturity month between January/05 and November/05 and for soybean, the price of the future contracts used was with maturity between March 2005 until September 2005 and November 2005. Concerning live...
Tipo: Journal Article Palavras-chave: Cointegration; Futures markets; Soybean; Live cattle.; Agribusiness; C32; Q1; Q11.
Ano: 2008 URL: http://purl.umn.edu/61272
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COMMODITY INDEX FUNDS AND PRICE SWINGS: CONDITIONS OF CAUSALITY AgEcon
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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Components of Grain Futures Price Volatility AgEcon
Karali, Berna; Thurman, Walter N..
We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to 2007. Combining the information from simultaneously traded contracts, a generalized least squares method is implemented that allows us to clearly distinguish among time-to-delivery effects, seasonality, calendar trend, and volatility persistence. We find strong evidence of time-to-delivery (Samuelson) effects and systematic seasonal components with volatility increasing prior to harvest times— an indirect confirmation of the theory of storage.
Tipo: Journal Article Palavras-chave: Futures markets; Samuelson effect; Seasonality; Time to maturity; Volatility; Crop Production/Industries; Risk and Uncertainty.
Ano: 2010 URL: http://purl.umn.edu/93205
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Cotton Futures Dynamics: Structural Change, Index Traders and the Returns to Storage AgEcon
Power, Gabriel J.; Robinson, John R.C..
The commodity bull cycle of 2006-2008 and subsequent dramatic price decline have been a source of hardship for traditional commodity market participants such as producers and merchant/shippers. The usefulness of futures markets has been called into question, especially given that some market movements did not appear to be justified by economic fundamentals. An emerging research literature examines the possible influence of futures traders, and particularly the non-traditional Index Traders, on the well-functioning of futures markets and underlying commodity markets. Cotton is a relatively under-studied commodity that is of particular importance for producers in the South and Southwest. To this end, this paper asks the following questions: (1) What role...
Tipo: Conference Paper or Presentation Palavras-chave: Cotton; Futures markets; Theory of storage; Convenience yield; Index Traders; Agribusiness; Agricultural Finance; Crop Production/Industries; Demand and Price Analysis; Farm Management; Financial Economics; Marketing; Research Methods/ Statistical Methods; Risk and Uncertainty.
Ano: 2009 URL: http://purl.umn.edu/53044
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Determinantes do uso de mercados futuros pelos produtores de soja no município de Cascavel - PR AgEcon
Marques, Romao Honorio Serpa; Aguiar, Danilo Rolim Dias de.
This study compares the producers who use future markets with those that don’t use this strategy to figure out the principal characteristics that differentiate them. Moreover there were studied the methods and strategies that farmers use for reducing price risk of soybeans. Besides identifying the strategies adopted by the producers, they were identified the key factors related to the choice of futures markets strategies. The methodological approach adopted is based on the estimate of a logit model. Based on the results, it is verified that the variables “education”, “gross income” and “work out of the property” were decisive on the use of in the adoption of futures markets.
Tipo: Journal Article Palavras-chave: Risk management; Futures markets; Soybean market; Marketing; Marketing.
Ano: 2004 URL: http://purl.umn.edu/56797
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Discussion: Commodity Price Discovery: Problems That Have Solutions or Solutions That Are Problems AgEcon
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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Do Inventory and Time-to-Delivery Effects Vary Across Futures Contracts? Insights from a Smoothed Bayesian Estimator AgEcon
Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N..
Replaced with revised version of paper 07/15/08.
Tipo: Conference Paper or Presentation Palavras-chave: Volatility; Theory of storage; Futures markets; Bayesian econometrics; Lumber; Marketing.
Ano: 2008 URL: http://purl.umn.edu/6084
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Do USDA Announcements Affect Comovements Across Commodity Futures Returns? AgEcon
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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Does Futures Price Volatility Differ Across Delivery Horizon? AgEcon
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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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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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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How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets AgEcon
Hernandez, Manuel A.; Ibarra, Raul; Trupkin, Danilo R..
This paper examines the dynamics of volatility across major global exchanges for corn, wheat, and soybeans in the United States, Europe, and Asia. We follow a multivariate GARCH approach and account for the potential bias that may arise when considering exchanges with different closing times. The results indicate that agricultural markets are highly interrelated and there are both own- and cross-volatility spillovers and dependence among most of the exchanges. Chicago particularly plays a major role in terms of spillover effects over other markets. Additionally, the level of interdependence between exchanges has only increased in recent years for some commodities.
Tipo: Presentation Palavras-chave: Volatility transmission; Agricultural commodities; Futures markets; Multivariate GARCH; Risk and Uncertainty; Q11; G15; C32.
Ano: 2012 URL: http://purl.umn.edu/122511
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HOW LARGE IS THE COMPETITIVE EDGE THAT U.S.-BASED FUTURES PROVIDE TO U.S. FARMERS? AgEcon
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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Information Content in Deferred Futures Prices: Live Cattle and Hogs AgEcon
Sanders, Dwight R.; Garcia, Philip; Manfredo, Mark R..
The informational content in live cattle and hog deferred futures prices is assessed using a direct test of incremental forecast ability for two- to twelve-month horizons. For 1976-2007, the results indicate that hog futures prices add incremental information at all horizons, but unique information in live cattle prices declines quickly beyond the eight-month horizon with no incremental information at the twelve-month horizon. The contrast in performance is likely attributable to differences in the quality of public information and the nature of the production process.
Tipo: Journal Article Palavras-chave: Forecast evaluation; Forecast information; Futures markets; Demand and Price Analysis; Risk and Uncertainty.
Ano: 2008 URL: http://purl.umn.edu/36709
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MANAGING OVERNIGHT CORN PRICE RISKS: E*HEDGING VERSUS TOKYO AgEcon
Leuthold, Raymond M.; Kim, MinKyoung.
This study investigates whether U.S. corn merchants can effectively manage the overnight price risk of cash corn purchased after the Chicago Board of Trade closes at 1:15 p.m. on either the electronic Project A market or in the corn contract traded on the Tokyo Grain Exchange. While neither market provides a very effective alternative using traditional measures of analysis, e*hedging on Project A is more effective than hedging in Tokyo. Both could be very effective for those merchants in the market every day. However, trading of corn futures contracts on Project A remains thin and likely illiquid, limiting its usefulness.
Tipo: Journal Article Palavras-chave: Corn; E*hedging; Electronic markets; Futures markets; Hedging; Overnight price risks; Project A; Tokyo Grain Exchange; Marketing.
Ano: 2000 URL: http://purl.umn.edu/14718
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Price efficiency and speculative trading in cocoa futures markets AgEcon
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
Registros recuperados: 32
Primeira ... 12 ... Última
 

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