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| Registros recuperados: 32 | |
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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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| 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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| 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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| 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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| 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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| 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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| Holt, Bryce R.; Irwin, Scott H.. |
| This study uses the newly available data from the CFTC to investigate the market impact of futures trading by large hedge funds and CTAs. Regression results show that there is a positive relationship between the trading volume of large hedge funds and CTAs and market volatility. However, a positive relationship between hedge fund and CTA trading volume and market volatility is consistent with either a private information or noise trader hypothesis. Three additional tests are conducted to distinguish between the private information hypothesis and the noise trader hypothesis. The first test consisted of identifying the noise component exhibited in return variances over different holding periods. The variance ratio tests provide little support for the noise... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Hedge fund; Commodity trading advisor; Volatility; Market efficiency; Futures markets; Marketing. |
| Ano: 2000 |
URL: http://purl.umn.edu/18935 |
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| 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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| 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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| 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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| Registros recuperados: 32 | |
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