The authors explore how wheat spot and futures market volatility has been impacted by government farm programs during the 1950-93 period. They find that changing volatility in both markets is highly associated with changing farm programs. The mandatory allotment programs of the 1950s and early 1960s (1/3/50-4/10/64) were associated with low volatility, while the voluntary programs initiated in the mid-1960s seem to have induced high volatility (4/11/64-12/22/85). Both market-driven loan rates and conservation reserve programs appear to have helped volatility revert to lower levels since the mid-1980s (12/23/85-12/30/93). The authors also examine seasonality and causality in conjunction with the farm programs. Copyright 1996 by American Finance Association.
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Article provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 51 (1996) Issue (Month): 1 (March) Pages: 325-43 Download reference. The following formats are available: HTML
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