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Linkages among commodity futures markets and dynamic welfare analysis

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Author Info

  • Rausser, Gordon C.

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

  • Walraven, Nicholas A.

Abstract

This 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 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 572.

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Length: 30 pages
Date of creation: 1990
Date of revision:
Handle: RePEc:are:cudare:572

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Related research

Keywords: economics; equilibrium; exchange rates; future trading; interest; prices;

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Cited by:
  1. Wolfram Schlenker & Sofia B. Villas-Boas, 2009. "Consumer and Market Responses to Mad Cow Disease," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 91(4), pages 1140-1152.
  2. Sévi, Benoît & Le Pen, Yannick, 2013. "Futures trading and the excess comovement of commodity prices," Economics Papers from University Paris Dauphine 123456789/11382, Paris Dauphine University.
  3. repec:ipg:wpaper:19 is not listed on IDEAS
  4. Stefani, Gianluca & Valli, Carlotta, 2004. "Exploring the Impacts of Risk Communication Policies on Welfare: Theoretical Aspects," 84th Seminar, February 8-11, 2004, Zeist, The Netherlands 24989, European Association of Agricultural Economists.
  5. Colin A. Carter & Gordon C. Rausser & Aaron Smith, 2011. "Commodity Booms and Busts," Annual Review of Resource Economics, Annual Reviews, vol. 3(1), pages 87-118, October.

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