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Announcement Effects and the Theory of Storage: An Empirical Study of Lumber Futures

Karali, Berna; Thurman, Walter N. - Agricultural and Applied Economics Association - AAEA - 2007

Replaced with revised version of paper on 06/11/07.

Persistent link: https://www.econbiz.de/10005803191

Do Inventory and Time-to-Delivery Effects Vary Across Futures Contracts? Insights from a Smoothed Bayesian Estimator

Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N. - Agricultural and Applied Economics Association - AAEA - 2008

Replaced with revised version of paper 07/15/08.

Persistent link: https://www.econbiz.de/10005804633

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 conflicting results. Using a longer series that includes the most recent cash and futures data, the existence of a time-varying risk premium in the cocoa futures market is...

Persistent link: https://www.econbiz.de/10005804671

A TERM STRUCTURE MODEL FOR AGRICULTURAL FUTURES

Fackler, Paul L.; Roberts, Matthew C. - Agricultural and Applied Economics Association - AAEA - 1999

An extension of Schwartz's model of futures price term structure that includes seasonality is developed. The approach allows futures prices for all maturities to be estimated simultaneously by exploiting arbitrage relationships. An application to wheat futures prices is presented.

Persistent link: https://www.econbiz.de/10005806440

THE EFFECTS OF FUTURES TRADING BY LARGE HEDGE FUNDS AND CTAS ON MARKET VOLATILITY

Holt, Bryce R.; Irwin, Scott H. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2000

This study uses the newly available data from the CFTC to investigate the market impact of futures trading by large hedge funds and CTAs. Regression results show that there is a positive relationship between the trading volume of large hedge funds and CTAs and market volatility. However, a...

Persistent link: https://www.econbiz.de/10005807878

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

Determinantes do uso de mercados futuros pelos produtores de soja no município de Cascavel - PR

Marques, Romao Honorio Serpa; Aguiar, Danilo Rolim Dias de - In: Revista de Economia e Agronegocio / Brazilian Review of … 2 (2004) 2

This study compares the producers who use future markets with those that donâ€™t use this strategy to figure out the principal characteristics that differentiate them. Moreover there were studied the methods and strategies that farmers use for reducing price risk of soybeans. Besides...

Persistent link: https://www.econbiz.de/10008509201

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

Spatial Price Analysis Incorporating Rate of Trade: Methods and Application to United Statesâ€“China Soybean Trade

Han, Shengfei; Durham, Catherine A. - In: Journal of Agricultural and Applied Economics 42 (2010) 02

A regime-switching model for analysis of market integration has been developed that incorporates rate of trade information. An application of the methods to United Statesâ€“China soybean trade demonstrates that the extended trade information allows better interpretation of market...

Persistent link: https://www.econbiz.de/10008530506

SUCCESS AND FAILURE OF AGRICULTURAL FUTURES CONTRACTS

Brorsen, B. Wade; Fofana, N'Zue F. - In: Journal of Agribusiness 19 (2001) 2

Most new futures contracts fail. This study estimates the effects of several factors on the success or failure of agricultural futures contracts. Commodities with futures markets and without futures markets are included. Characteristics for which no data exist, such as homogeneity, vertical...

Persistent link: https://www.econbiz.de/10005339060