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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- Yannick Le Pen & Benoît Sévi, 2013.
"Futures Trading and the Excess Comovement of Commodity Prices,"
AMSE Working Papers
1301, Aix-Marseille School of Economics, Marseille, France, revised Jan 2013.
- 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.
- Yannick Le Pen & Benoît Sévi, 2013. "Futures trading and the excess comovement of commodity prices," Working Papers 2013-019, Department of Research, Ipag Business School.
- Yannick Le Pen & Benoît Sévi, 2013. "Futures Trading and the Excess Comovement of Commodity Prices," Working Papers halshs-00793724, HAL.
- Schlenker, Wolfram & Villas-Boas, Sofia B, 2008.
"Consumer and Market Responses to Mad-Cow Disease,"
Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series
qt7995j7cm, Department of Agricultural & Resource Economics, UC Berkeley.
- 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.
- Yannick Le Pen & Benoît Sévi, 2013. "Futures trading and the excess comovement of commodity prices," Working Papers 19, Department of Research, Ipag Business School.
- 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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