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Efficiency in Commodity Futures Markets

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Author Info

  • Graciela Kaminsky

    (International Monetary Fund)

  • Manmohan S. Kumar

    (International Monetary Fund)

Abstract

An econometric investigation is undertaken into the efficiency of commodity futures markets. Despite considerable empirical literature, there is no consensus on whether or not the markets are efficient. This study suggests that for certain commodities expected excess returns to futures speculation are nonzero. However, these results do not necessarily imply that agents do not act rationally. The implications for the cost of using the futures market for hedging and for the power of futures prices to forecast future spot prices are also noted.

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Bibliographic Info

Article provided by Palgrave Macmillan in its journal Staff Papers - International Monetary Fund.

Volume (Year): 37 (1990)
Issue (Month): 3 (September)
Pages: 670-699

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Handle: RePEc:pal:imfstp:v:37:y:1990:i:3:p:670-699

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Cited by:
  1. Eduardo Borensztein & Carmen Reinhart, 1994. "The Macroeconomic Determinants of Commodity Prices," IMF Working Papers 94/9, International Monetary Fund.
  2. Sushil Mohan & James Love, 2004. "Coffee futures: role in reducing coffee producers' price risk," Journal of International Development, John Wiley & Sons, Ltd., vol. 16(7), pages 983-1002.
  3. Li, Jia & Hanrahan, Kevin F. & McErlean, Seamus, 2004. "The Efficiency Of The Futures Market For Agricultural Commodities In The Uk," 2004 Annual meeting, August 1-4, Denver, CO 20203, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  4. Reinhart, Carmen & Borensztein, Eduardo, 1994. "The determinants of commodity prices," MPRA Paper 13870, University Library of Munich, Germany.
  5. Shaun K. Roache, 2008. "Commodities and the Market Price of Risk," IMF Working Papers 08/221, International Monetary Fund.

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