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Establishing the Presence of a Risk Premium in the Cocoa Futures Market: An Econometric Analysis
Armah, Stephen E. - Agricultural and Applied Economics Association - AAEA - 2008
Previous attempts at identifying and estimating a time-varying risk premium in the cocoa futures market yielded …-varying risk premium in the cocoa futures market is re-investigated using LM ARCH tests and a Quadratic ARCH in Mean Error … of a positive time-varying [or constant] risk premium in the cocoa futures market at conventional significance levels …
Persistent link: https://www.econbiz.de/10005804671
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Futures Basis for Cotton: Impact of Globalization and Structural Change
MacDonald, Stephen; Meyer, Leslie A. - Agricultural and Applied Economics Association - AAEA - 2009
A model of commodity futures contract basis was developed based on Working’s theory of the price of storage. An error-correction model was estimated for the basis for the InterContinental Exchange (ICE) #2 cotton contract maturing in December during 2000-08. The model was also extended to...
Persistent link: https://www.econbiz.de/10005000490
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Public and Private Institutional Responses to Advocacy Attacks: The Case of the Global Cocoa Industry and Child Labour Abuse
Clark, Alexandra; Gow, Hamish R. - Agricultural and Applied Economics Association - AAEA - 2011
production and marketing processes (Bowmar and Gow, 2009). Advocacy groups have used these attacks to exploit the growing … members. Using an instrumental case study of the international cocoa and chocolate industry’s response to the child labour …
Persistent link: https://www.econbiz.de/10009024954
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Cotton Futures Dynamics: Structural Change, Index Traders and the Returns to Storage
Power, Gabriel J.; Robinson, John R.C. - Department of Agricultural and Consumer Economics, … - 2009
The commodity bull cycle of 2006-2008 and subsequent dramatic price decline have been a source of hardship for traditional commodity market participants such as producers and merchant/shippers. The usefulness of futures markets has been called into question, especially given that some market...
Persistent link: https://www.econbiz.de/10009368370
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Does Futures Price Volatility Differ Across Delivery Horizon?
Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N. - Department of Agricultural and Consumer Economics, … - 2009
We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via the smoothed Bayesian estimator of Karali, Dorfman, and Thurman (2010). We show that the futures price volatilities in these markets are affected by the...
Persistent link: https://www.econbiz.de/10009368381
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The Effect of Ethanol Production on Coarse Grains: New Price Relationships
Martinez-Mejia, Pablo; Malaga, Jaime E. - In: Journal of Agribusiness 27 (2009)
For years, the U.S. price of grain sorghum has been settled as 95% of the price of corn. Nevertheless, the increasing demand for corn and grain sorghum in ethanol production might have changed that price relationship. In this study, we use cointegration and the vector autoregressive model with...
Persistent link: https://www.econbiz.de/10008599574
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Strategic Interactions, Risks and Coordination Costs in Food Marketing Channels: The Mediating Role of Futures Markets
Kuwornu, John K.M.; Kuiper, W. Erno; Pennings, Joost M.E.; … - European Association of Agricultural Economists - EAAE - 2006
We examine the interaction of marketing channel members and the influence of these interactions on incentives …, coordination costs, and risk allocation strategies in a food marketing channel. For this purpose we specify a three-stage principal …-agent marketing channel model involving producers, wholesalers, retailers and a futures market. We compare the situation with and …
Persistent link: https://www.econbiz.de/10005797933
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The Development of Index Futures Contracts for Fruits and Vegetables
Manfredo, Mark R.; Libbin, James D. - In: Journal of Agribusiness 16 (1998) 1
, such as commodity futures contracts, to aid in the marketing and management of its price risk. Since the 1980s, financial …
Persistent link: https://www.econbiz.de/10008490035
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Discussion: Commodity Price Discovery: Problems That Have Solutions or Solutions That Are Problems
Fortenbery, T. Randall - In: Journal of Agricultural and Applied Economics 41 (2009) 02
This paper examines three invited papers focused on commodity prices. Public responses to high nominal commodity prices and perceived increases in price risk have ranged from attempts to assign blame, attempts to change contracting arrangements, and development of public policy that...
Persistent link: https://www.econbiz.de/10005103130
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Have Farmers and Ranchers Lost Confidence in Futures Markets?
Amosson, Stephen H.; Anderson, David P.; Bevers, Stanley J. - Southern Agricultural Economics Association - SAEA - 2013
Agricultural producers have used futures markets to manage price risk, confident that 1) cash and futures prices move together over time, 2) cash and futures prices converge as the contract approaches expiration, and 3) funds held in margin accounts as a performance bond were secure in...
Persistent link: https://www.econbiz.de/10010880626