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Price Volatility of Storable Commodities under Rational Expectations in Spot and Futures Markets

Citations

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Cited by:

  1. Mihaela Nicolau, 2012. "Do Spot Prices Move towards Futures Prices? A study on Crude Oil Market," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 5(5), pages 166-176, October.
  2. Lin Xie & Jiahua Liao & Haiting Chen & Xuefei Yan & Xinyan Hu, 2021. "Is Futurization the Culprit for the Violent Fluctuation in China’s Apple Spot Price?," Agriculture, MDPI, vol. 11(4), pages 1-14, April.
  3. Palm, F C & Vogelvang, E, 1986. "A Short-run Econometric Analysis of the International Coffee Market," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 13(4), pages 451-476.
  4. Klumpp, Tilman, 2021. "Stockpiling and Shortages (the “Toilet Paper Paper")," Working Papers 2021-2, University of Alberta, Department of Economics.
  5. Umar, Muhammad & Su, Chi-Wei & Rizvi, Syed Kumail Abbas & Lobonţ, Oana-Ramona, 2021. "Driven by fundamentals or exploded by emotions: Detecting bubbles in oil prices," Energy, Elsevier, vol. 231(C).
  6. Phil Simmons, 1988. "A Theoretical Discussion Of The Economic Effects Of Buffer Stocks And Buffer Funds," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 32(2-3), pages 129-141, 08-12.
  7. Patrick Artus & Claude Jessua, 1996. "La spéculation," Revue Économique, Programme National Persée, vol. 47(3), pages 409-424.
  8. Knaut, Andreas & Paschmann, Martin, 2017. "Price Volatility in Commodity Markets with Restricted Participation," EWI Working Papers 2017-2, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
  9. Santos, Joseph, 2003. "Commodity futures contracts: Furnishing an elastic currency in the nineteenth century," Journal of Macroeconomics, Elsevier, vol. 25(4), pages 561-578, December.
  10. Patrick Artus, 1990. "Quand la création d'un marché à terme peut-elle déstabiliser le cours au comptant ?," Revue Économique, Programme National Persée, vol. 41(1), pages 71-94.
  11. Patrick Artus, 1996. "Création d'un marché à terme, nature des imperfections financières et stabilité du prix au comptant," Revue Économique, Programme National Persée, vol. 47(5), pages 1043-1062.
  12. C. W. Morgan, 1999. "Futures Markets and Spot Price Volatility: A Case Study," Journal of Agricultural Economics, Wiley Blackwell, vol. 50(2), pages 247-257, May.
  13. Evans, Lewis & Guthrie, Graeme, 2007. "Commodity Price Behavior With Storage Frictions," Working Paper Series 19065, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  14. Méndez Parra, Maximiliano, 2015. "Futures prices, trade and domestic supply of agricultural commodities," Economics PhD Theses 0115, Department of Economics, University of Sussex Business School.
  15. Batista Soares, David & Borocco, Etienne, 2022. "Rational destabilization in commodity markets," Journal of Commodity Markets, Elsevier, vol. 25(C).
  16. Dragan Miljkovic & Cole Goetz, 2020. "Destabilizing role of futures markets on North American hard red spring wheat spot prices," Agricultural Economics, International Association of Agricultural Economists, vol. 51(6), pages 887-897, November.
  17. Ahmet Enis Kocagil, 1997. "Does futures speculation stabilize spot prices? Evidence from metals markets," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 115-125.
  18. Palm, F.C. & Vogelvang, E., 1985. "An econometric analysis of the short-run demand for coffee," Serie Research Memoranda 0017, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  19. Gary Robinson, 1993. "The Effect of Futures Trading on Cash Market Volatility: Evidence from the London Stock Exchange," Bank of England working papers 19, Bank of England.
  20. Campbell, Robert B. & Turnovsky, Stephen J., 1985. "An analysis of the stabilizing and welfare effects of intervention in spot and futures markets," Journal of Public Economics, Elsevier, vol. 28(2), pages 165-209, November.
  21. Alejandra Gómez-Padilla & Rosa G. González-Ramírez & Fernando Alarcón & Stefan Voß, 2021. "An option contract model for leasing containers in the shipping industry," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 23(2), pages 328-347, June.
  22. Arzu Uluc, 2018. "Stabilising House Prices: the Role of Housing Futures Trading," The Journal of Real Estate Finance and Economics, Springer, vol. 56(4), pages 587-621, May.
  23. Martínez, Beatriz & Torró, Hipòlit, 2018. "Analysis of risk premium in UK natural gas futures," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 621-636.
  24. Goetz, Cole & Miljkovic, Dragan & Barabanov, Nikita, 2021. "New empirical evidence in support of the theory of price volatility of storable commodities under rational expectations in spot and futures markets," Energy Economics, Elsevier, vol. 100(C).
  25. Evans, Lewis & Guthrie, Graeme, 2007. "Commodity Price Behavior With Storage Frictions," Working Paper Series 3966, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  26. Chunlei Li & Gangyi Wang & Yuzhuo Shen & Anani Amètépé Nathanaël Beauclair, 2024. "The Effect of Hog Futures in Stabilizing Hog Production," Agriculture, MDPI, vol. 14(3), pages 1-16, February.
  27. Kofman, Paul & Viaene, Jean-Marie, 2000. "The demise of commodity price agreements: the role of exchange rates and special interests," European Journal of Political Economy, Elsevier, vol. 16(4), pages 775-805, November.
  28. Zant, Wouter, 2001. "Hedging Price Risks of Farmers by Commodity Boards: A Simulation Applied to the Indian Natural Rubber Market," World Development, Elsevier, vol. 29(4), pages 691-710, April.
  29. Knaut, Andreas & Paschmann, Martin, 2019. "Price volatility in commodity markets with restricted participation," Energy Economics, Elsevier, vol. 81(C), pages 37-51.
  30. Jacks, David S., 2007. "Populists versus theorists: Futures markets and the volatility of prices," Explorations in Economic History, Elsevier, vol. 44(2), pages 342-362, April.
  31. Jacopo Piana & Daniele Bianchi, 2017. "Expected Spot Prices and the Dynamics of Commodity Risk Premia," 2017 Meeting Papers 1149, Society for Economic Dynamics.
  32. repec:vuw:vuwscr:19065 is not listed on IDEAS
  33. Dragan Miljkovic & Cole Goetz, 2023. "Futures markets and price stabilisation: An analysis of soybeans markets in North America," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 67(1), pages 104-117, January.
  34. Bukenya, James O. & Labys, Walter C., 2007. "Do fluctuations in wine stocks affect wine prices?," Working Papers 37317, American Association of Wine Economists.
  35. de Jong, Johan & Sonnemans, Joep & Tuinstra, Jan, 2022. "The effect of futures markets on the stability of commodity prices," Journal of Economic Behavior & Organization, Elsevier, vol. 198(C), pages 176-211.
  36. Hernandez, Manuel & Torero, Maximo, 2010. "Examining the dynamic relationship between spot and future prices of agricultural commodities," IFPRI discussion papers 988, International Food Policy Research Institute (IFPRI).
  37. Bensaid, B. & Boutillier, M., 1997. "Le contrat notionnel : efficience et causalité," Working papers 44, Banque de France.
  38. Miljkovic, Dragan & Goetz, Cole, 2020. "The effects of futures markets on oil spot price volatility in regional US markets," Applied Energy, Elsevier, vol. 273(C).
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