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Volatility in Wheat Spot and Futures Markets, 1950-1993: Government Farm Programs, Seasonality, and Causality

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  • Crain, Susan J
  • Lee, Jae Ha

Abstract

The authors explore how wheat spot and futures market volatility has been impacted by government farm programs during the 1950-93 period. They find that changing volatility in both markets is highly associated with changing farm programs. The mandatory allotment programs of the 1950s and early 1960s (1/3/50-4/10/64) were associated with low volatility, while the voluntary programs initiated in the mid-1960s seem to have induced high volatility (4/11/64-12/22/85). Both market-driven loan rates and conservation reserve programs appear to have helped volatility revert to lower levels since the mid-1980s (12/23/85-12/30/93). The authors also examine seasonality and causality in conjunction with the farm programs. Copyright 1996 by American Finance Association.

Suggested Citation

  • Crain, Susan J & Lee, Jae Ha, 1996. " Volatility in Wheat Spot and Futures Markets, 1950-1993: Government Farm Programs, Seasonality, and Causality," Journal of Finance, American Finance Association, vol. 51(1), pages 325-343, March.
  • Handle: RePEc:bla:jfinan:v:51:y:1996:i:1:p:325-43
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    Cited by:

    1. Maurice J. Roche & Kieran McQuinn, 2003. "Grain price volatility in a small open economy," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 30(1), pages 77-98, March.
    2. Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.
    3. repec:ebl:ecbull:eb-17-00592 is not listed on IDEAS
    4. repec:eee:finana:v:57:y:2018:i:c:p:122-133 is not listed on IDEAS
    5. Bekkerman, Anton & Pelletier, Denis, 2009. "Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49281, Agricultural and Applied Economics Association.
    6. Lucia BALDI & Massimo PERI & Daniela VANDONE, 2011. "Spot and future prices of agricultural commodities: fundamentals and speculation," Departmental Working Papers 2011-03, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    7. Antonios Antypas & Phoebe Koundouri & Nikolaos Kourogenis, "undated". "Volatility Trends and Optimal Portfolios: the Case of Agricultural Commodities," DEOS Working Papers 1113, Athens University of Economics and Business.
    8. repec:bla:sajeco:v:84:y:2016:i:4:p:636-653 is not listed on IDEAS
    9. Sophie van Huellen, 2013. "Price Non-Convergence in Commodities: A Case Study of the Wheat Conundrum," Working Papers 185, Department of Economics, SOAS, University of London, UK.

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