Linkages among commodity futures markets and dynamic welfare analysis
AbstractThis study constructs dynamic welfare measures for a system of futures markets that express the allocative efficiency of a particular market as a function of its accuracy and speed of adjustment following a shock to the system. The system comprises future prices for T-bills, exchange rates (German mark, British pound, Canadian dollar and yen), and agricultural commodities (corn, wheat, and cotton) for delivery in 1981 and 1982. The results suggest that, although agricultural, exchange, and financial markets all overreact to a disturbance, agricultural markets do so to a much greater degree. Owing to their much greater size, however, the welfare loss arising from the overshooting is likely to be much larger for interest rate and exchange. Copyright 1990 by MIT Press.
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Bibliographic InfoPaper provided by University of California at Berkeley, Department of Agricultural and Resource Economics and Policy in its series CUDARE Working Paper Series with number 572.
Length: 30 pages
Date of creation: 1990
Date of revision:
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Postal: University of California, Giannini Foundation of Agricultural Economics Library, 248 Giannini Hall #3310, Berkeley CA 94720-3310
Other versions of this item:
- Rausser, Gordon C & Walraven, Nicholas A, 1990. "Linkages among Commodity Futures Markets and Dynamic Welfare Analysis," The Review of Economics and Statistics, MIT Press, vol. 72(4), pages 631-39, November.
- Rausser, Gordon C. & Walraven, Nicholas A., 1990. "Linkages among commodity futures markets and dynamic welfare analysis," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt3p3028t6, Department of Agricultural & Resource Economics, UC Berkeley.
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