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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- 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.
- Lawrence J. Christiano & Terry J. Fitzgerald, 1999.
"The Band Pass Filter,"
NBER Working Papers
7257, National Bureau of Economic Research, Inc.
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