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Long Term Contracts in International Trade

Amann, Erwin; Marin, Dalia - C.E.P.R. Discussion Papers - 1990

Countertrade agreements in international trade refer to a practice in which an exporter agrees to purchase in the future, from the importer, commodities proportional to his original export sale. The paper analyzes why it might be efficient for agents to undertake trade through a reciprocal...

Persistent link: https://www.econbiz.de/10005791831

What Do We Learn from the Price of Crude Oil Futures?

Alquist, Ron; Kilian, Lutz - C.E.P.R. Discussion Papers - 2007

Based on a two-country, two-period general equilibrium model of the spot and futures markets for crude oil, we show that there is no theoretical support for the common view that oil futures prices are good predictors of the spot price in the mean-squared error sense; yet under certain conditions...

Persistent link: https://www.econbiz.de/10005792183

Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach

Lean, H.H.; McAleer, M.J.; Wong, W-K. - Erasmus University Rotterdam, Econometric Institute - 2010

This paper examines the market efficiency of oil spot and futures prices by using a stochastic dominance (SD) approach. As there is no evidence of an SD relationship between oil spot and futures, we conclude that there is no arbitrage opportunity between these two markets, and that both market...

Persistent link: https://www.econbiz.de/10008570626

Portfolio theory and the demand for futures: theory and the case of California cotton

Berck, Peter - Department of Agricultural and Resource Economics, … - 1980

Persistent link: https://www.econbiz.de/10008583380

Futures market efficiency in the soybean complex

Rausser, Gordon C.; Carter, Colin - Department of Agricultural and Resource Economics, … - 1981

Persistent link: https://www.econbiz.de/10008583440

Investor preferences for oil spot and futures based on mean-variance and stochastic dominance

Lean, H.H.; McAleer, M.J.; Wong, W-K. - Erasmus University Rotterdam, Econometric Institute - 2010

This paper examines investor preferences for oil spot and futures based on mean-variance (MV) and stochastic dominance (SD). The mean-variance criterion cannot distinct the preferences of spot and market whereas SD tests leads to the conclusion that spot dominates futures in the downside risk...

Persistent link: https://www.econbiz.de/10008584712

Volatility, Depth, and Order Composition: Evidence from a Pure Limit Order Futures Market

Chen, Ho-Chyuan; Wu, Juping - In: Emerging Markets Finance and Trade 45 (2009) 5, pp. 72-85

This paper investigates market behaviors (such as volatility, depth, and volume) and order-flow decomposition in a pure … relatively high adverse selection costs in futures markets. We show that a volatility (depth) increase is followed by a depth … (volatility) decrease; a market order increase (decrease) subsequently induces higher (lower) volatility; and a limit order …

Persistent link: https://www.econbiz.de/10008592701

Lead-lag price relationships between thinly and heavily traded commodity futures markets

Carter, Colin A.; Rausser, Gordon C - Department of Agricultural and Resource Economics, … - 1983

Persistent link: https://www.econbiz.de/10008540793

The formation of the efficient market in Tokugawa Japan

Takatsuki, Yasuo - Graduate School of Economics, Osaka University - 2006

The first modern futures market is said to date back to the Chicago Board of Trade established in 1848. However, there existed an older precedent; the Dojima Rice Market established in 1730 in Osaka. The past literature on Dojima has made it clear that Dojima had well-established trading...

Persistent link: https://www.econbiz.de/10005773306

Price Flexibility in Channels of Distribution: Evidence from Scanner Data

Dutta, Shantanu; Bergen, Mark; Levy, Daniel - EconWPA - 2004

In this study, we empirically examine the extent of price rigidity using a unique store-level time series data set - consisting of (i) actual retail transaction prices, (ii) actual wholesale transaction prices which represent both the retailers' costs and the prices received by manufacturers,...

Persistent link: https://www.econbiz.de/10005561335