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Seasonality in Agricultural Commodity Futures

Author

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  • Sørensen, Carsten

    (Department of Finance, Copenhagen Business School)

Abstract

The stochastic behavior of agricultural commodity prices is investigated using ob- servations of the term structures of futures prices over time. The continuous time dynamics of (log-) commodity prices are modeled as a sum of a deterministic sea- sonal component, a non-stationary state-variable, and a stationary state-variable. Futures prices are established by standard no-arbitrage arguments and the Kalman lter methodology is used to estimate the model parameters for corn futures, soy- bean futures, and wheat futures based on weekly data from the Chicago Board of Trade for the period 1972-1997. Furthermore, in a discussion of the estimated sea- sonal patterns in agricultural commodity prices, we provide empirical evidence on the theory of storage that predicts a negative relationship between stocks of inven- tory and convenience yields; in particular, convenience yields used in this analysis are extracted using the Kalman lter.

Suggested Citation

  • Sørensen, Carsten, 1999. "Seasonality in Agricultural Commodity Futures," Working Papers 1999-14, Copenhagen Business School, Department of Finance.
    • Handle: RePEc:hhs:cbsfin:1999_014
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    File URL: http://ir.lib.cbs.dk/download/ISBN/8790705300.pdf
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    Cited by:

    1. Usama Haroon & Muhammad Hassan Chaudhary & Muhammad Aamir Shahzad & Muhammad Adnan Khan & Nimra Nisar, 2020. "Vegetable Prices Possess Seasonal Volatility: A Case Study of Lahore, Punjab, Pakistan," Journal of Economic Impact, Science Impact Publishers, vol. 2(2), pages 62-71.

    More about this item

    Keywords

    Asset Pricing;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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