The relationship between price volatility and competition is examined. A theoretic, vector autoregressions on farm prices of wheat and retail prices of derivatives (flour, bread, pasta, bulgur and cookies) are compared to results from a dynamic, simultaneous-equations model with theory-based...

An understanding of changes in price volatility is of value to policy makers and exchange committee members as well as other participants in commodity futures markets. Previous research has studied volatility by measuring: 1) the flow of new information into the market, or 2) the effect that the...

Uma vez que o pecuarista decide-se por utilizar o mercado futuro de boi gordo da BM&F como ferramenta de redução de risco de sua produção, uma das primeiras perguntas a serem respondidas é: quanto se fazer de hedge? Esta pergunta tem sido frequentemente respondida através da utilização...

The efficiency of the Chinese wheat and soybean futures markets is studied. Formal statistical tests were conducted based on Johansen’s cointegration approach for three different cashmarkets and six different futures forecasting horizons ranging from1 week to 4 months.The results suggest a...

This review article describes the main contributions in the literature on commodity futures markets. It is argued that modern studies have focused primarily on technical questions, with insufficient economic content. More research needs to be directed towards understanding fundamental economic...

The potential for hedging Australian wheat with the new Sydney Futures Exchange wheat contract is examined using a theoretical hedging model parametised from previous studies. The optimal hedging ratio for an `average' wheat farmer was found to be zero under reasonable assumptions about...

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