Investing in Agribusiness Stocks: What Lies Ahead!
AbstractThe relative price of various combinations of a stock index to a commodity-related index is filtered using a Christiano-Fitzgerald (CF) filter. We find that the market is still bull for commodity-related stocks as of June 2012. The business cycles obtained from the CF filters and the NBER do not coincide.
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Bibliographic InfoPaper provided by Southern Agricultural Economics Association in its series 2013 Annual Meeting, February 2-5, 2013, Orlando, Florida with number 143041.
Date of creation: 2013
Date of revision:
Agricultural Finance; G10; Q13;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
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- Lawrence J. Christiano & Terry J. Fitzgerald, 2003.
"The Band Pass Filter,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05.
- Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band Pass Filter," NBER Working Papers 7257, National Bureau of Economic Research, Inc.
- Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band pass filter," Working Paper 9906, Federal Reserve Bank of Cleveland.
- Tom Doan, . "CFFILTER: RATS procedure to perform band pass filter using Christiano-Fitzgerald method," Statistical Software Components RTS00034, Boston College Department of Economics.
- Zapata, Hector O. & Detre, Joshua D. & Hanabuchi, Tatsuya, 2012. "Historical Performance of Commodity and Stock Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 44(03), August.
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