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Spot and Futures Prices of Agricultural Commodities: Fundamentals and Speculation

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  • Baldi, Lucia
  • Peri, Massimo
  • Vandone, Daniela

Abstract

This paper investigates the long-run relationship between spot and futures prices for corn and soybeans, for the period January 2004 -September 2010. We apply cointegration methodology in the presence of potentially unknown structural breaks in the commodities prices and we then study the causality relationships between spot and futures prices within each specific sub-period identified, with the aim to analyze where changes in spot and futures price originate and how they spread. Empirical estimates highlight the following evidence: i) breaks relate to events that have significantly affected the supply and demand of corn and soybeans for food and energy purposes; ii) subperiods consequently identified express different dynamics in the causal relationship between spot and futures prices and support the idea that many factors contributed to the 2007-2008 food price increase

Suggested Citation

  • Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2011. "Spot and Futures Prices of Agricultural Commodities: Fundamentals and Speculation," 2011 International European Forum, February 14-18, 2011, Innsbruck-Igls, Austria 122002, International European Forum on System Dynamics and Innovation in Food Networks.
    • Handle: RePEc:ags:iefi11:122002
    DOI: 10.22004/ag.econ.122002
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    4. Samal, G.P., 2017. "Price Discovery Efficiency of Cotton Futures Market in India," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 30(2).
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