Interest Rates and Commodity Prices
AbstractThe 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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Bibliographic InfoArticle provided by United States Department of Agriculture, Economic Research Service in its journal Journal of Agricultural Economics Research.
Volume (Year): (1989)
Issue (Month): 2 ()
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Theory of storage; arbitrage; interest rates; commodity own rates; risk premium; nonneutralities; Demand and Price Analysis; Financial Economics; Risk and Uncertainty;
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- Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
- 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..
- 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.
- 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).
- 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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