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An Econometric Analysis of the Forward Premium in the International Corn Market

Author

Listed:
  • Pagoulatos, Emilio
  • Azzam, Azzeddine
  • Kitazawa, Motoichiro

Abstract

This study investigates the linkage between world macroeconomic factors and prices of an internationally traded commodity by explicitly accounting for the role of futures markets in stockholding behavior. Using a portfolio model, the empirical analysis is carried out with quarterly data of a storable, international traded commodity--corn--for the 1973I-1983IV period. The empirical findings show that a substantial variation in the corn forward premium can be explained by current and expected future values of macroeconomic variables, such as industrial production, interest rates, and exchange rates. Copyright 1990 by Oxford University Press.

Suggested Citation

  • Pagoulatos, Emilio & Azzam, Azzeddine & Kitazawa, Motoichiro, 1990. "An Econometric Analysis of the Forward Premium in the International Corn Market," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 17(3), pages 335-347.
    • Handle: RePEc:oup:erevae:v:17:y:1990:i:3:p:335-47
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