This study examines the long-run information role of open interest in futures markets. It is found that open interest of the futures markets for storable commodities shares the same long-run information as the futures prices, but not for the nonstorable futures markets. Furthermore, the futures...

This paper examines the price discovery performance of futures markets for storable and nonstorable commodities in the long run, allowing for the compounding factor of stochastic interest rates. The evidence shows that asset storability does not affect the existence of cointegration between cash...

In this paper we examine dynamic relationships among wheat prices from five countries for the years 1981-1999. Error correction models and directed acyclic graphs are employed with observational data to sort-out the dynamic causal relationships among prices from major wheat producing regions:...