Vector autoregression (VAR) methods are used to analyse the contribution of supply, demand and policy shocks to unpredictable fluctuations in the market for Australian wool. VAR procedures are compared with conventional structural econometric models as methods for decomposing sources of...

A rational expectations competitive storage model is applied to the U.S. corn market to assess the aptness of this framework in explaining monthly price behavior in an actual commodity market. Relative to previous models, extensive realism is added to the model in terms of how production...

Estimates of the joint value of the timing and location options in the corn futures contract on the CBOT are obtained by using a multinomial diffusion process. The estimated option values will be used in a model to explain basis behavior on the first day of the maturity month.

Empirical models of commodity prices are potentially important aids to decision-makers, especially as the economy has grown more complex. A typical time series of commodity prices exhibits positive autocorrelation, occasional spikes, and random variability, and conceptual models have been...

The value of the timing option implicit in CBOT corn futures contract is estimated. Separate estimates are obtained for the option without and with convenience yield. The effect of the option on basis behavior at day one of the maturity month is examined and is found to be statistically important.

Numerous models of price-demand-supply behavior in agricultural markets have been proposed and estimated. The literature contains valuable contributions, but the cumulative effect is somewhat disappointing. This paper appraises the status of the price analysis literature and makes suggestions...

It is possible to obtain robust estimates of structural parameters using observational data, but it is difficult to do so. Necessary, but not sufficient, conditions are to adopt a modeling philosophy and to undertake a comprehensive evaluation of the results. Using a general-to-specific modeling...