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Arbitrage conditions, interest rates, and intertemporal commodity price relationships

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Author Info

  • Kitchen, John
  • Rausser, Gordon C.

    ()
    (University of California, Berkeley. Dept of agricultural and resource economics)

Abstract

Recent studies have presented different views on the relationship between interest rates and commodity prices. The theory of storage and arbitrage approaches fully incorporate nominal interest rates in commodity price spreads. Alternative frameworks admit a relationship between the interest rate and commodity own rates of interest and, as a result, the commodity price spread would not completely incorporate the nominal interest rate. The various views on interest rate-commodity price relationships, the potential role of nonneutralities, and existing empirical evidence are examined.

(This abstract was borrowed from another version of this item.)

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Bibliographic Info

Paper provided by University of California at Berkeley, Department of Agricultural and Resource Economics and Policy in its series CUDARE Working Paper Series with number 489.

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Length: 25 pages
Date of creation: 1988
Date of revision:
Handle: RePEc:are:cudare:489

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Keywords: future trading interest prices risk storage;

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