This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities. To achieve this goal, we decompose an oil price shock to its underlying components, including macroeconomics and oil specific shocks. The applied methodology is the structural...

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities. To achieve this goal, we decompose an oil price shock to its underlying components, including macroeconomics and oil specific shocks. The applied methodology is the structural...

Hog, corn, and soybean meal futures are shown to be cointegrated, reflecting the close intrinsic relationship of corn and soybean meal as the primary feed for hogs. Applying a recent technique to date-stamp pricing bubbles we further show that bubbles in feed do not appear to be associated with...

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities. To achieve this goal, we decompose an oil price shock to its underlying components, including macroeconomics and oil specific shocks. The applied methodology is the structural...

Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are not only subject to changes in demand, but also to speculation regarding future markets. Japan and Singapore are the major futures markets for rubber, while Thailand is...

Using a restricted version of the BEKK model we test an implication of the theory of storage that supply-and-demand fundamentals affect the price dynamics of agricultural commodities. The commodities under analysis are corn and wheat. An interest-storage-adjusted-spread was used as a proxy...

Climate change largely influences the operations of companies that, due to their nature, are exposed to weather risks. One of the sectors that is widely exposed to weather conditions is the wine sector. Rain, together with temperature, is one of the weather variables that most influences the...

Using daily prices of both spot and three futures for seven commodities in India, mean reversion/randomness is investigated. The commodities under investigation are: castor seed, gold, guar seed, maize, silver, soybean and soyoil. Traditional unit root tests as well as robust Variance ratio test...

This paper considers the Samuelson hypothesis, which argues that the futures price volatility increases as the futures contract approaches its expiration. Utilizing intraday data from 20 futures markets in six futures exchanges, we find strong support for the Samuelson hypothesis in agricultural...