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Agricultural Arbitrage, Adjustment Costs, and the Intensive Margin AgEcon
Tack, Jesse B.; LaFrance, Jeffrey T..
Farmland and capital are an important and rapidly expanding component of the agricultural economy, and empirical evidence suggests that these assets are quasi-fixed in that adjustment costs are incurred when holdings are altered. Increased interest in the rate of return for investing in farmland suggests that an important consideration is the effect of adjustment costs on this return. A novel theoretical model is developed that ties together contributions from the farmland pricing and adjustment cost literatures, and the first order conditions for a utility maximizing decision maker are rearranged into intertemporal arbitrage equations that are similar in spirit to traditional finance models. The common assumptions that land and capital are quasi-fixed...
Tipo: Conference Paper or Presentation Palavras-chave: Arbitrage; Adjustment Costs; Farmland; Asset Pricing; Capital; Cost Function; Risk; Production; Agricultural Finance; Consumer/Household Economics; Crop Production/Industries; Farm Management; Financial Economics; Land Economics/Use; Production Economics; Risk and Uncertainty.
Ano: 2010 URL: http://purl.umn.edu/56412
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How Market Efficiency and the Theory of Storage Link Corn and Ethanol Markets AgEcon
Mallory, Mindy L.; Hayes, Dermot J.; Irwin, Scott H..
In this article we use the theories of market efficiency and supply of storage to develop a conceptual link between the corn and ethanol markets and explore statistical evidence for the link. We propose that a long-run no-profit condition is established in distant futures markets for ethanol, corn, and natural gas and then use the theory of storage to define an inter-temporal equilibrium among these prices. The relationship shows that under certain conditions, future price expectations will influence current spot prices and that a short-term relationship between input and output prices will exist. This short-term relationship will contain fixed costs. We demonstrate validity of the theory using a structural price model and then by means of time-series...
Tipo: Working or Discussion Paper Palavras-chave: Arbitrage; Cointegration; Corn; Energy; Ethanol; Futures; Price-analysis; Storage.; Crop Production/Industries; Demand and Price Analysis; Marketing; Risk and Uncertainty.
Ano: 2010 URL: http://purl.umn.edu/97611
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Possibilidade de arbitragem no mercado de câmbio brasileiro AgEcon
Cassuce, Francisco Carlos da Cunha; Muller, Carlos Andre da Silva; Campos, Antonio Carvalho.
The objective of this work is to determine the presence of volatility in the spot and futures exchange rates, detecting, thus, the presence of risk. Identified the volatility, it is looked for shaping it through the construction of models capable to forecast the behavior of the spot and futures exchange rates. The GARCH and TARCH models had been used to shape the volatility of the exchange rates. Gotten the estimates, it is verified existence of convergence of these rates in the date of the expirations of future contracts, identifying, thus, the chance to get profits with arbitrage. The results had shown more that the spot and futures exchange rates are very volatile and the spot exchange market presents asymmetry, being affected for negative impacts. The...
Tipo: Journal Article Palavras-chave: Arbitrage; Spot exchange rate; Futures exchange rate; Volatility; International Relations/Trade.
Ano: 2006 URL: http://purl.umn.edu/55177
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The Inconvenience Cost: A Portfolio Approach to Non-Convergence Between Cash and Futures Prices AgEcon
Adjemian, Michael K.; Kuethe, Todd H.; Kunda, Eugene L..
Cash and futures prices should reach equality, or converge, upon contract maturity. Traders can impose convergence during the delivery month through arbitrage behavior: either making or taking delivery on futures contracts. If convergence is not predictable, a futures market fails to provide a clear storage signal to potential inventory holders and reduces the attractiveness of hedging. Recent convergence problems in domestic commodity markets demonstrate the existence of persistent, significant arbitrage opportunities over the second half of the last decade. Yet, terminal elevator operators—perhaps the only participants with the capacity to do so—have not arbitraged away these riskless returns by making enough deliveries. This model demonstrates...
Tipo: Conference Paper or Presentation Palavras-chave: Convergence; Arbitrage; Portfolio Theory; Storage; Agricultural Finance; Financial Economics; Risk and Uncertainty; G11; D21; Q14.
Ano: 2010 URL: http://purl.umn.edu/61040
Registros recuperados: 4
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