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Interest Rates and Commodity Prices

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  • Kitchen, John
  • Rausser, Gordon C.

Abstract

The theory of storage and arbitrage approaches fully incorporate nominal interest rates in far-near commodity price spreads Alternative frameworks admit a relationship between interest rates and commodity own rates of interest and as a result the commodity price spread would not completely incorporate the nominal interest rate This study examines the Views on interest rate-commodlty price relationships, the potential role of nonneutralities, and empirical evidence on the relationships The evidence does not support the hypothesis of a close relationship between commodity own rates and the real interest rate

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File URL: http://purl.umn.edu/138240
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Bibliographic Info

Article provided by United States Department of Agriculture, Economic Research Service in its journal Journal of Agricultural Economics Research.

Volume (Year): (1989)
Issue (Month): 2 ()
Pages:

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Handle: RePEc:ags:uersja:138240

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Keywords: Theory of storage; arbitrage; interest rates; commodity own rates; risk premium; nonneutralities; Demand and Price Analysis; Financial Economics; Risk and Uncertainty;

References

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  1. Dusak, Katherine, 1973. "Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 81(6), pages 1387-1406, Nov.-Dec..
  2. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
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Cited by:
  1. Franken, Jason R.V. & Garcia, Philip & Irwin, Scott H., 2006. "Do Interest Rates Explain Disaggregate Commodity Price Growth?," 2006 Annual meeting, July 23-26, Long Beach, CA 21319, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  2. Buccola, Steven T., 1989. "Pricing Efficiency In Agricultural Markets: Issues, Methods, And Results," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 14(01), July.
  3. Monaco, Ralph M., 1991. "Recent Macroeconomic Developments And Their Impact On Agriculture," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 20(2), October.

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