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Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange

  • Ramaprasad Bhar

    ()

  • Shigeyuki Hamori

    ()

In this paper, we propose a discrete version of the short-term and long-term component model of the agricultural futures prices. The maximum likelihood estimate of each parameter is obtained using an adaptive filtering algorithm. The diagnostics statistically support the specification of the model. The short-term components exhibit no causal relationship with economic fundamentals such as inflation rate and economic growth rate. These components, therefore, seem to be driven mainly by fads rather than market fundamentals. On the other hand, the long-term components show conitegrating relationship with only one cointegrating vector among the three futures contracts examined. Copyright Springer Science+Business Media, LLC 2006

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File URL: http://hdl.handle.net/10.1007/s10690-007-9032-2
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Article provided by Springer & Japanese Association of Financial Economics and Engineering in its journal Asia-Pacific Financial Markets.

Volume (Year): 13 (2006)
Issue (Month): 1 (March)
Pages: 1-9

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Handle: RePEc:kap:apfinm:v:13:y:2006:i:1:p:1-9
DOI: 10.1007/s10690-007-9032-2
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  1. Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, March.
  2. McKenzie, Andrew M. & Holt, Matthew T., 1998. "Market Efficiency In Agricultural Futures Markets," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20933, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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  7. G. Geoffrey Booth & Paul Brockman & Yiuman Tse, 1998. "The relationship between US and Canadian wheat futures," Applied Financial Economics, Taylor & Francis Journals, vol. 8(1), pages 73-80.
  8. Shigeyuki Hamori & Naoko Hamori & David A. Anderson, 2001. "An Empirical Analysis of the Efficiency of the Osaka Rice Market During Japan's Tokugawa Era," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(9), pages 861-874, 09.
  9. Adusei Jumah & Sohbet Karbuz & Gerhard Runstler, 1999. "Interest rate differentials, market integration, and the efficiency of commodity futures markets," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 101-108.
  10. Peter Wickham & Carmen Reinhart, 1994. "Commodity Prices; Cyclical Weakness or Secular Decline?," IMF Working Papers 94/7, International Monetary Fund.
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  12. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Linkages among agricultural commodity futures prices: some further evidence from Tokyo," Applied Economics Letters, Taylor & Francis Journals, vol. 13(8), pages 535-539.
  13. Reinhart, Carmen & Wickham, Peter, 1994. "Non-oil commodity prices: Cyclical weakness or secular decline?," MPRA Paper 13871, University Library of Munich, Germany.
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