Efficiency in Commodity Futures Markets
AbstractAn 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 InfoArticle provided by Palgrave Macmillan in its journal Staff Papers - International Monetary Fund.
Volume (Year): 37 (1990)
Issue (Month): 3 (September)
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- Reinhart, Carmen & Borensztein, Eduardo, 1994.
"The Macroeconomic Determinants of Commodity Prices,"
6979, University Library of Munich, Germany.
- Eduardo Borensztein & Carmen M. Reinhart, 1994. "The Macroeconomic Determinants of Commodity Prices," IMF Staff Papers, Palgrave Macmillan, vol. 41(2), pages 236-261, June.
- Eduardo Borensztein & Carmen Reinhart, 1994. "The Macroeconomic Determinants of Commodity Prices," IMF Working Papers 94/9, International Monetary Fund.
- Shaun K. Roache, 2008. "Commodities and the Market Price of Risk," IMF Working Papers 08/221, International Monetary Fund.
- Reinhart, Carmen & Borensztein, Eduardo, 1994. "The determinants of commodity prices," MPRA Paper 13870, University Library of Munich, Germany.
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