BHANUMURTHY, N. R.; DUA, PAMI; KUMAWAT, LOKENDRA - In: Climate Change Economics (CCE) 04 (2013) 03, pp. 1350011-1
model transmission of weather shocks to futures and spot prices using monthly data. Based on cointegration analysis, our … results suggest strong long-run co-movement between futures prices and spot prices for commodities traded in futures markets …. Changes in rainfall affect both futures and spot prices with different lags. However, rainfall shocks generate larger …